I downliaded a SD file from here: http://portal.emodnet-hydrography.eu/geographic-grid How can I open it in QGIS?
Why not download the GeoTiff format? That can easily be opened by QGIS.
If depth is required then why not use the .asc format? That can easily be opened in QGIS:
Colour image of the .asc file for clarity: