The download files are typically in the TSO XMIT format. They can be uploaded to your z/OS as follows:

Create a sequential dataset with recfm=FB and lrecl=80.
Download the file from the website to a local file.
Do a binary opload of the file to you z/OS dataset.
Do a TSO RECEIVE INDA('your.dataset-name'), reply as prompted.
Photo by Agiorgio - Own work, CC BY-SA 4.0