Yes, we have our courses on Udemy as well, the very same as on our website.
It is the best to have the History data from your broker, and not downloading it from somewhere.
For sure you do not need to pay for History data. Just leave your Meta Trader opened, and with the time it will collect you the data.
You can always save it from your Meta Trader, or if you change computer, you can transfer it. Go to Files-open data folder-history. And you will see the server of your broker. You can save this file from time to time.