If you are stuck like me without being able to find the Navigation window, the latest version of Unity doesn’t appear to have it as standard.
I had to import the AI Navigation package from the Unity Registry, then go to Windows>AI>Navigation (Obsolete) to open the correct window with the Bake option.
As some feedback, this course could really do with an update. There are a few moments where it refers to obsolete things where I’ve had to google a way around, or just ignore the instructions given and figure it out myself. I know GameDev.tv have just launched a new multiplayer series using UGS, but there still seems to be a lot of support in the community for Mirror (potentially more than UGS!) so it would be great to have a small refresh of this course too.