Rosemarie, LockDown Browser is a 3rd party software that works with Canvas. We actually use it at my school and I don't remember downloading anything for it to work. I'm pretty sure it was something that we added as an LTI or app. My recommendation is to check with the following resources - LockDown Browser - and then check with Respondus or the Canvas Admin at your school about getting it installed and ready for your class.
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