These files are already in ArcInfo grid format so you shouldn't need to convert them: 30616 - What is the file structure of an Arc/INFO Grid?
The Grid format relies on a directory structure where a workspace contains one or more grid directories. The workspace should also contain an info directory. I am guessing that something has gone wrong with the directory structure as Arcmap should be able to load the grid format.
I would suggest looking at the original download to see if the entire workspace is there or contacting the data provider to get the workspace - as the Info subdirectory contains several files which maintain certain information about the grid.
This ArcGIS Help 10.1 page has more information on the format.
GRID directory ---------------- There are a number of files that can be stored in a GRID's subdirectory. Not all of them are necessary for the GRID to display. They can be stored in one of three storage types, INFO format, ASCII format and binary format. dblbnd.adf - The boundary file contains the minimum and maximum x,y coordinates for a grid - INFO format hdr.adf - The header file contains information about the GRID's cell resolution, type (integer or floating point), compression, and tile information. - binary format log - The log file contains a history about the creation of and alterations to a GRID. - ASCII format prj.adf - The projection file stores the known map projection information of the GRID. It is optional. - ASCII format sta.adf - The statistics (minimum, maximum, mean, and standard deviation) of the cell values. - INFO format vat.adf - The value attribute table (VAT) stores the the attribute data associated with the zones of the grid. The vat.adf can only exist for integer GRIDs. - INFO format w001001.adf - Stores the value of each cell in the first (base) tile of the GRID. - If the GRID is floating point, the values are single precision. - binary format w001001x.adf - Stores the index for the blocks in the tile. - binary format |