Puppy Luppy just commented:
Downloaded the SQL Server/Yukon Hands On Labs...can't find anything in the c:\Labs directory...as in: C:\Labs\DTS Lab\SourceQuery.sql C:\Labs\DTS Lab\DTSLabDimProduct.dtsx
but didn't give an email address... so everyone gets to read my reply :)
All of the labs install to your My Documents folder, but most of the lab instructions assume a certain directory (c:\labs for the SQL ones)... so... you will either be copying files around a bit, adjusting the instructions or having to run some setup code before you can use the labs. In the case of SQL, there is a HOL SETUP folder, but I don't have any guidance for you in terms of how these labs are supposed to be configured. Of course, Yukon needs to be installed, that would be a good starting point for the SQL labs.

I'd suggest you post your questions about the labs to the appropriate newsgroup under http://communities.microsoft.com/newsgroups/default.asp?icp=whidbey&slcid=us (you'll find a SQL CLR one there that might be useful for Yukon questions) and I'll post any useful information that I find out as well.