There appears to be in an error in the the instructions for Learn HTML & CSS : Part I | The CSS Setup | Exercise 5.
The relative path given for the style.css file is /style.css. This is the root-relative path, not the relative path. Unless the style.css file is located in the root directory, it will not be linked to the .html file.
The path given in the instructions does work for the example in the Codecademy environment, because the .html and .css files are indeed in the root directory.
However, to make it clearer to learners, especially when they go on to coding outside of the Codecademy environment, the instructions should really give the relative path as style.css to avoid confusion.