Its probably a problem with your FTP from AIX. in FTP-ing from UNIX to DOS you need to make sure it FTP's in ASCII mode rather than BINARY. Then the simple unix "new lines" will be converted to "carriage return/line feed".
Alternatively, why not try FreeTDS (www.freetds.org) ? This includes a bcp program which will bcp your data directly into SQL server from your AIX box.
It works very nicely, I've found.