If you are not opposed to using a third-party ETL tool, you may want to try the Data UpLoader to MS SQL Server from Pervasive DataTools. I've used several of their tools over the years and have found them to be very useful.
Before I posted, I checked to make sure their Data UpLoader to MS SQL Server supports Informix SE...and it does.
I have downloaded the software suggested (DataTools to Migrate Data from Informix) and when the program starts , asks for a Source Connection.
Because of the DOS (!!!) style of the database, i can not find a valid one...
I have tried to open some of the .dat files (NO SUCCESS !)
Probably i am doing something wrong but i can not figure out what !