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Have a look at [dmoz.org...] - You will find some documentation and in "Upload tools" a set of third party tools to get the RDF dumps working on your server.
(If you should be using IE or any other broweser that thinks he should _display_ the zipped file instead of saving it, either use a better browser or use right mouse click / save as to download the file)
If you want to look at the data format before downloading the full RDF files you can download the example files
which contain a small subset of categories and sites.