xxx = Import["C:\\Users\\Rasher\\Downloads\\data.txt", "Data"];
zzz = xxx // StringSplit;
You need to decide how / where to "split" or do other operations, since this is basically a bulk text file, e.g., split at line-breaks, etc. Read the documentation on
StringSplit and ancillary text manipulation functions, once you've imported it these will let you massage it into the desired MMA list/array structure.
With just the above, row 1 of zzz is what appear to be the column headings, so
zzz[[1,n]] gets you the n'th one. Row 2 to ... are the rows, with the first entry the row name, e.g,
zzz[[2,1]] gets the name of the first row under headings,
zzz[[2,2]] the first row entry, etc.