Here it is with conversions (for strange formats, you have to put the model in a zipped file to upload to Alice). The conversion was very straightforward using Biturn - the only real issue was that the "forward" direction actually has the character facing backwards.

The real problem is that only the mesh converted and this was apparently a boned model - so the movements you are going to be able to do using Alice are very limited. This is a pretty common problem with stuff from the web. You can "cut it apart" in Anim8or or another program - but this gets fairly tedious by the time you work through getting all the joints correct - I'd plan your animation before starting and just make the minimum number of separations. Also, I couldn't find a texture associated with the model so just colored the various parts in Alice.