Import file with .file file extension

Hello,

I am trying to import data with a .file file extension and can't seem to figure out how. If it helps, I am trying to import the file in the ED2017.zip folder found at ftp://ftp.cdc.gov/pub/Health_Statist...atasets/NHAMCS . Any ideas? (Would this be better in SAS . . . ? :x )