It vastly depends on what is in it. It could be a binary file or it could be a text file.
If it is a text file then you can open it in the same way you open any file (f=open(filename,"r"))
If it is a binary file you can just add a "b" to the open command (open(filename,"rb")). There is an example here:
Reading binary file in Python and looping over each byte
Depending on the type of data in there, you might want to try passing it through a csv reader (csv python module) or an xml parsing library (an example of which is lxml)
After further into from above and looking at the page the format is:
Data Format
The datasets use a format similar as that of the text export format from relational databases:
One header lines with the variables names
One line per instance
Separator tabulation between the values
There are missing values (consecutive tabulations)
Therefore see this answer:
parsing a tab-separated file in Python
I would advise trying to process one line at a time rather than loading the whole file, but if you have the ram why not...
I suspect it doesnt open in sublime because the file is huge, but that is just a guess.