If you are having the newest GarageBand 10.0, The lessons are no longer free. They can only be installed, if you purchased the additional content, see:
With a one-time in-app purchase of $4.99, you can expand this content to 200 sounds, 2,000 loops, 15 Drummers, and 40 guitar and piano Basic Lessons. You will also gain the ability to purchase additional Artist Lessons.
If you previously owned GarageBand '11 and upgraded to GarageBand 10.0, try "GarageBand > Restore Purchase" instead of "Download More Sounds" from the GarageBand menu.