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How to this SAS transport file in R?

I think You need to use mode='wb' in your download statement

download.file("http://isites.harvard.edu/fs/docs/icb.topic35387.files/demo_c.xpt",
              "C:/Desktop/demo_c.xpt", mode='wb')

Hope this is helpful,

Dan

Daniel J. Nordlund
Washington State Department of Social and Health Services
Planning, Performance, and Accountability
Research and Data Analysis Division
Olympia, WA 98504-5204