If you don't already have EEGLAb, download and install it in matlab. I've never worked with .edf files, but EEGLAB claims it can import them, although it requires the biosig extension, presumably also available from the EEGLAB download site. Once imported into EEGLAB, use file-->Data and ICA activity to text file, then in the dialogue that opens, give it a name with extention (i.e., myfile.dat), and choose the options you want for the file. The file will be saved to the matlab "current directory" folder. 

Thank you very much for your answer. I will download EEG lab and try it @ Martin

I also suggest to use EEGLAB, which has the capability to import edf files...If it does not work, you can try to change the format of the file using an EEG data processor..