Mac should be fine as well, remember it is a Unix based system just like Linux though it's much more closed than Linux. I have seen professionals in the field working with both Windows, Mac and Linux, so really it should come down to your personal preference 
I'm not sure how to change standard applications on Mac, but you could probably find this on Google.
As the final line of your assignment states, when opening the .rmd you need the other files as well. What you should do is to download all the attached files and put them in a folder e.g., "~/knitr_tutorial". When opening the .rmd file set the working directory to this path.
To add to this the .RData file is a saved R environment in which the data already is loaded. What you want to do when working with R Markdown is to import this data anew. That is what this line in your .rmd file does:
visitorsA2 <- read.csv("visitorsA2.csv", header = TRUE)
It tries to find visitorsA2.csv in your specified working directory and if it isn't there, it returns an error.
Hope this helps 