The idea that it was a member (or former member) of ETA that taught Escobar's organization to make car bombs and other explosives comes from Escobar's top hit-man John Jairo Velasquez aka "Popeye". The bomber in question, named only "Miguel" or "Miguelito" by Popeye, has never been identified. According to Popeye, "Miguel" was later discovered trying to sell his services to the rival Cali Cartel and Escobar ordered to have him murdered, dismembered and his remains thrown in a river.
In reality, Spain never had a Minister of Defense named Alejandro Rivera nor did ETA ever kill a Spanish defense minister. Only two of ETA's victims were ministers or former ministers: Luis Carrero Blanco (Minister of the Presidency 1951-1967 and Prime Minister in 1973, named "Luis Blanco" by Murphy in the dialogue) and Ernest Lluch (Minister of Health 1982-1986, who was shot outside his home in 2000).
The CIA would never allow an agent from a different organization free access to their files. Being allowed to grab and look at any random file, regardless of being supervised, would never happen.