If you are using data from a website I would contact the data custodian (on the website), and request the data to be sent as a csv. file It is also necessary to get permission or the authority to use data for your experiment. If you clearly explain why and how you wish to use it, and the format you require I expect you will enter into an agreement to use it. Check the website carefully as a lot will be covered in FAQ.
Also when you use data from a secondary source, you would expect to also have a data dictionary explain the Variable name, the type of variable, the coding of the levels and units etc. In short the definitions and description of the variables.
There is a package called lessR that is nice for bringing data in from other formats. I have used it for SPSS (*.sav files).
Thank Miranda for your replay. I already signed an agreement with SEER and getting data but, i tried to find a proper way to extract the data from SEER.
Just having had a quick look on the website- it looks like some data are available as *.txt files. So you can read those into R, specifying the correct separator.
Many thanks Miranda & Marius for your quick answers. It looks like the data has fmt format, Miranda , Could you please just specify where I can find txt files in the data ?