I've never even heard of PhysioNet. It took me 15 min to do a web search and figure it out. Just sayin.
There's a basic overview here with links for the WFDB toolbox for Matlab. Download/install the toolbox.
Once it's installed, run
and maybe try the example:
This downloads the specified dat file and makes a local copy as a .mat file with an associated .hea file.
The toolbox also includes other tools for further operation on the data.