EDI stands for Electronic Data Interchange...
It's not a specific format per-se. Generally speaking it's a flat text file of data that usually has an associated published specification. For example: "Position 23-34 is the original price as a monetary value"
You really won't be able to do anything useful with an EDI file if you don't have the defined specification that goes along with it.
Once you get the specification, I believe how to read the file will be quite clear.
Generally the process is:
1. Read/Parse the EDI file.
2. Perform any processing/transformation on that data that you need to.
3. Persist it into your local system format (tables, other flat files, whatever).
Sorry there's not much more we could tell you unfortunately.