Step 1:  

After you have downloaded the folder of images, you should upload them to your program.  One efficient way that Matlab allows you to do this is through what they call an "Image Data Store".  An ImageDataStore is a collection of images, stored conveniently in memory for later use.  If you have a lot of images that can't all fit in memory at the same time, an ImageDataStore uploads images to memory as they are needed by your program (in batches instead of all at the same time) so that you don't run out of memory.  Just think of an ImageDataStore as an efficient way of accessing a large number of images for use by your program.

clear;
clc;
close all;

mydata = imageDatastore('MerchData', ...   % load data from folder named 'MerchData'
'IncludeSubfolders',true, ...                           % Also include the subfolders (there are 5 of these for the 5 objects, cap, cube, ...)
'LabelSource','foldernames');                       % The name of the subfolders supply the "correct answer" labels
 

% You can access individual images in the imagedatastore if you'd like by using the readimage function:
% mypic=readimage(myfooddata,23);  % read the 23rd image in the image datastore
% imshow(mypic);