Good to hear you are following along, and sorry to hear you had some trouble with the files. I've just had a check and I've noticed that I don't specify how to add the files to the Visual Studio project in Level 5. I'll update the article to reflect this.
To follow the series exactly, you need to create a ssc_uk_postcodes folder within your Visual Studio solution, with appropriate sub-folders (counties, postcodes, districts, postcodeestimates). Then put each of the appropriate files in there. Which is what you mention in your second point.
Your change (where you've specified a local file path) will work locally, but it won't work if you try to run the code in Azure. Adding the above folders locally and in Azure will guarantee consistency in the scripts, as you're using relative instead of absolute paths.
I'll post a message here once the article has been updated. Thanks for your interest.