Codecademy tries to make the process of learning to code as easy as possible by letting people jump straight into learning programming languages and developer tools purely through their web browser. This removes a huge number of hurdles for people who aren't comfortable configuring their own computers, or maybe they're at school or in a library where they don't have permission to change anything or install new software.
That being said, Codecademy do make provision for people who want to set up a local developer environment. In fact, it's probably the first thing everyone should attempt to do after completing a Codecademy course.
Here's a couple of Codecademy articles to help you get Git set up on your computer and a "real world" workflow example:
Also, it's probably best to look at Learn Git as part of a series of three Codecademy courses:
Learn the Command Line
Deploy a Website
Learn the Command Line will get you used to the environment in which you'll be setting up and using Git, and Deploy a Website walks you through a great real world example of how to use Git and GitHub.
If you need help setting up the Command Line, again, Codecademy has some great articles to help you out:
Hope that helps you out