The STL file contains 55 shells. Those can be pretty easily split and saved as 55 individual stl files.
Loading an stl into solidworks is almost useless, but if you enable the Scan to 3D add-in, it will work better. But SolidWorks is not great at wrapping surfaces around a mesh model.
I've attached a step file for one of the leg bones. You can check it out and see if it would work for you.
If all of the files are eventually converted, someone is going to have a hell of a time reassembling each of the pieces in an assembly. I'd anticipate a lot of work.
I dont have module to convert scan file to solidwork part. I only have license in Catia to convert scan stl file to solid part using : Digitized shape editor, Quick Surface Reconstruction and generative shape design (So horrible)