Hi,
If you didn't, you need to unzip the file with 'use folder names' or something similar. Except for a .xml file, the other files are in two folders:
mn30_grd
info
The grid file folder is mn30_grd but it also requires the info folder. The info folder contains files that have the attribute information. Always use ArcCatalog to move grids and coverages (and file geodatabases, etc) if you haven't use the formats before, as it's easy to miss a required file or folder. In ArcMap or ArcCatalog if you browse it the folder that contains the mn30_grd and info folders, you should see mn30_grd as an available raster.
Hope this helps!
Melita
You should be able to read it directly. bil (band interleaved by line) is supported. The other files (.hdr, .blw) include info like the georeferencing. USGS readme is a little outdated. The section that says you may need to convert to GRID assumes that you're using ArcInfo Workstation. In ArcGIS Desktop, you can use the Raster to Other Format tool.
You might need to use the Define Projection tool to set the coordinate system. You should check the individual data file's readme to see what it says. There's some information in readme that I included a link for above, but I seem to remember that it's out of date too.
Melita