Print CompleteColorA.stl in one color and CompleteColorB.stl in another color. I used 20% infill and 0.1mm layer hight.
After printing both STLs you should have 27 cubes:
9 with straight holes,
16 with 90° corner holes and
2 with straight holes which are bigger on one side.
Put all the cubes on an elastic thread in the order you can see on the 3rd picture. The 2 cubes with the bigger holes on one side are the end cubes (the bigger holes goe to the outside).
Make a knot on each end of the thread to keep the cubes together as tight as possible. The knots should go inside the big holes in the end cubes, but must not slide through the smaller holes! If they do, try making bigger knots, or use some CA glue to fix them.
If you habe problems solving the puzzle, here's a video where you can see how to do it: