From look at the website for the NHD data, it seems the data is available in 2 formats, the File Geodatabase and Personal Geodatabase. Where you are looking, which is to download the data on a state by state basis, it seems that the only option for download is the File GDB.
Note: Based on the website, the link to this data, included in the question above, only works with Internet Explorer.
If you look under the Download by SubRegions area, there are options for File or Personal GDB. Use the NHD Viewer to help determine what subregion(s) you need, then look under the High Resolution area and download the appropriate zip files containing the PGDB version 9.31 data.
I admit this is probably not an ideal situation since you may end up with multiple datasets. It will, however, allow you to access the data through the OGR tools, at which time you can merge them into a single database.