There are many ways, but each has costs and benefits... It depends quite a bit on what kind of connectivity exists between the SQL Server and the mainframe.
In the best case, you can import the data directly using SQL Server's
BULK INSERT command. This assumes that you can see files on the mainframe directly (ala NFS).
In the worst case, you can design DTS packages that will copy the files from the mainframe to your NT server (using an FTP or executable task), load the data from the NT file into the SQL Server, then delete the NT file.
There are a number of steps between the best and worst cases, but they depend on what communications facilities you've got between the mainframe and your SQL Server.
-PatP