Am I correct in thinking this is a JSON format file?
Could I suggest you save the file to your PC then connect to PQ with the from web option. I haven't used this technique myself but for the URL you need to type file:\followed by the path to your .json file.
It's from here: http://download.companieshouse.gov.uk/en_pscdata.html - PSC data as one file
It's a 5GB file though, and it downloads as a .txt
Thank you for your help on this one!