There should be 5 hha files. You need to compile asset builder and run it to create test assets (like handmade hero sprites and fonts). To do that uncomment line below "Asset file builder build" in build.bat. It will create test_asset_builder.exe file in build folder. Run this executable from data folder and it will create test1/2/3.hha and testfonts.hha files - they should remain in data folder.
This work was done in day 147-154 (and improved in later days).