The following is an edited version of a note from abowd@ilr.cornell.edu:

To get the NBER Immigration and Trade data files by ftp

Use your local version of ftp to open the server:

     nber.harvard.edu

Identify yourself as user anonymous with any password.

cd to pub/trade.immigration and ftp the README file. Then cd
to the appropriate directory:

     pc:       for MS-DOS format stata 3.0 files
     unix:     for unix format stata 3.0 files
     sasv6xpt: for a SAS version 6 export format library

ftp all files in binary mode (except README files).

I do not send an ascii format file because there is no
standardized way to keep the data and documentation together.
If you cannot use one of these formats directly, I suggest
you contact CRC, the suppliers of stata, and arrange to 
obtain a copy of StatTransfer (1-800-statapc).