Click on the text file on the web. For
example you can click below to import the data on Table 4.1, Page
110 of your textbook:
Once the file shows up on the browser go to the File menu of the browser and choose the Save As command. You should get a dialog box like the following. Make sure you select Text File for file type:

Click Save.
Now start JMP and go to the File menu and choose the Open command. Configure the resulting dialog box as follows:

Click Open. You should get the following:

You may need to adjust the column width to get nice column names.