The data file is NHANES-600.csv.gz. The data are stored in csv format, compressed using gzip. To read the data into R use:

fid = gzfile("NHANES-600.csv.gz")
M = read.csv(fid)

The original source at the CDC for the data is here:

http://www.cdc.gov/nchs/about/major/nhanes/nhanes2005-2006/nhanes05_06.htm