Hi,
I had the same problem. Here's a work around, not especially elegant. I downloaded the data files manually and unzipped them into the C:\pmtk3-master\pmtkdataCopy directory (should be a bunch of directories, one for each data set). Then I modified the code in loadData.m to
%[info,msg,err] = stat(dest);
%if (msg == 0)
if(true)
to bypass the stat function completely. Since this function is supposed to check whether the data has already been downloaded eveything should work fine.