Use the LIBNAME statement to make a libref using the XPORT engine pointing at the file you downloaded.
You can then reference the dataset by its name or use PROC COPY to copy it to a different libref, such as WORK.
1 %let path=C:\Downloads;
2 libname nhanes xport "&path\DEMO_D.xpt";
NOTE: Libref NHANES was successfully assigned as follows:
Engine: XPORT
Physical Name: C:\Downloads\DEMO_D.xpt
3 proc copy inlib=nhanes out=work;
4 run;
NOTE: Input library NHANES is sequential.
NOTE: Copying NHANES.DEMO_D to WORK.DEMO_D (memtype=DATA).
NOTE: BUFSIZE is not cloned when copying across different engines. System Option for BUFSIZE was used.
NOTE: There were 10348 observations read from the data set NHANES.DEMO_D.
NOTE: The data set WORK.DEMO_D has 10348 observations and 43 variables.
NOTE: PROCEDURE COPY used (Total process time):
real time 0.06 seconds
cpu time 0.06 seconds