It's too bad they haven't made the download interface clickable kind of like the map selection in Garmin MapSource (which I suspect you've all used to load topo maps into your Garmin GPS). That seems to work really well.
I ended up writing a shell script to process the zip files, and I thought I'd post it here. It may only be useful to a limited set of people, because I do things strangely. First of all, I downloaded and compiled the unix version of the f123 libraries, which includes the C version of sdts2dem. I store my dem files in a directory which is samba shared to my local LAN and referred to by topofusion (G:\dem). I have a subdir of dem called zips where I put the files when I "Save to..." off the GIS data depot web site. So, if you store your dem files on a Unix box, then this will work. Otherwise, You'll have to adapt for an installation of cygwin, or the like, which includes Unix applications like awk as well as the Unix-like shells for your windblowz box.
Anyway, you will start with a zips sub-directory full of zip files, and end up with a bunch of .dem files in your dem directory full of .dem files named by their established Title (probably the Title you saw when you downloaded it originally).
YMMV. This is the first shell script I have written in over 3 years (sometimes it sucks being in management)
#!/bin/tcsh
# Put this shell script in your directory that you want to
# contain
# your dem files, create a subdirectory called zips and save all
# your downloaded zipfiles from the GIS data depot to that
# directory.
#
foreach zipfile (`ls -1 zips`)
tar zxf zips/$zipfile
set quad=`ls *CATS.DDF | awk -FCATS '{ print $1 }'`
set fileout=`echo "$zipfile" | awk -F'.' '{print$1}'`
sdts2dem $quad $fileout
rm *.DDF
set title=`awk -F, '{print $1}' $fileout.dem`
mv $fileout.dem "$title".dem
rm zips/$zipfile
end
exit
