DTM AND DSM
Sorry for the delay. The file can be read without any problems into Desktop (see screenshot in ArcMap below) no conversion required:
The steps are easy, assuming you have ArcMap or ArcGIS Pro:
1) In ArcMap, click the add data button:
2) navigate to the folder where the file is or files are stored, select the file and click on the Add button:
As a result the file will be added to the TOC and you can start to manipulate the file. Please note that the file as you shared does not have a projection and you should use the Define Projection—Help | ArcGIS Desktop tool to assign the appropriate projected coordinate system.
As far as I can tell the raster is a classified raster where you will only have values in steps of 100m (no intermediate values). To get something "useful" you may need to extract the contours every 100 meters with Contour—Help | ArcGIS Desktop followed by Topo to Raster—Help | ArcGIS Desktop to interpolate the contour lines and create a real DEM.
I believe the the original question on how to open the file in ArcMap has been resolved, basically with the suggestion that Dan Patterson made earlier in this thread "but try it in arcmap with the Add Data button first", which worked. I added some images to make it more visual, and detected some problems with the data.
As far as I understand, you have a follow-up question about the coordinates and mention importing a lat, lon point. I guess you refer at defining a coordinate system since the data has coordinate which range from 39,281,738 to 39,377,938 in X (lon) and 458,760,736 to 458,785,736 in Y (lat):
Those are very high values for coordinates. Normally when you obtain data the data will be accompanied by some metadata explaining the content and in this case the coordinate system. You should ask the owner of the data when spatial reference and units have been used for this dataset. Only then you will be able to assign the correct coordinate system to the data (so it will know its location in the surface of the earth) and you are able to project the dataset into another coordinate system in you you require geographic coordinates (lat and lon). If you do not have information about the data and its coordinate system you will need to "guess" which coordinate system it is, by using knowledge of the area it describes with all the possible consequences of errors. The other aspect still remains; the dataset is not really a DEM or DTM. It is a classified derivative and should be treated as such. For example you cannot create a slope map from this raster or calculate aspects or do any hydrological analysis on it.Be aware of that.
