Your dataset doesn’t seem to have a montage included (EDF does not store channel location information). The example data comes as BIDS, which contains all kinds of metadata, including channel locations. Therefore, if you want to replicate the tutorial with your own data, you need to provide channel locations manually (maybe this is stored in a different file?).
This depends on the data you have. If the electrode locations are available, you can read them with mne.channels.read_custom_montage(). If the format is not supported, you can create a custom montage with mne.channels.make_dig_montage(). If you don’t have any channel location information, you will need to locate them manually using MR images (see the tutorial linked by @alexrockhill).