Some of Altium's menus are contextual depending on what you are currently working on. In this case, the "Design" menu is only accessible when you are working in a Schematic or PCB document; it's not available when working in a library file. Be aware that the contents of the Design menu (and other common menus) are also contextual, so they will vary between the schematic and PCB editor.
Since you mentioned "Physical Nets", I assume you are looking for the Design > Netlist > Configure Physical Nets selection right? If so, that is only available when editing a PCB, so you will first need to open an existing PCB document or generate a new one using File > New > PCB. Hopefully that solves your problem so that you can continue your tutorial. If you have any further questions, please feel free to post them.
Good luck.