Different websites provide data in several different formats - ASCII, SAS, SPSS, Stata and others. Not all data are available in all formats, though, so you need to choose which best suits your needs. Sometimes, you will find that the data you want are not available in the format you want. Here are some tips:
Image source: Porter Novelli Global. Reading RUFUS data with yED. CC BY-SA 2.0. flikr.