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How to this SAS transport file in R?

You didn't tell us your OS.  That is a binary file, and from 
?download.file:

     mode: character.  The mode with which to write the file. Useful
           values are ?"w"?, ?"wb"? (binary), ?"a"? (append) and ?"ab"?.
           Only used for the ?"internal"? method.

Only on Windows are the binary modes different, so it looks like you
forgot mode="wb".
On Sun, 5 Dec 2010, someone ashamed of her real name wrote:

            
[...]
Yes, that does mean you.