The text for the course is
Modern Applied Statistics with S-Plus, Second Edition, by Bill Venables and Brian Ripley, 1997.
A recommended text (I forgot to mention this earlier) for the course is
The Basics of S and SPLUS, by A. Krause and M. Olsen, 1997.
The book has a web page, containing useful information and links. All the software and data sets for the book (as well as some others; see Appendix A in the book, e.g.) can be obtained here.
More generally, StatLib is a general purpose server for the statistical community. There are several sites on Statlib where data sets and algorithms are available, including:
See also the data sources page maintained at the University of Nevada.