I downloaded the data, created one file from it, sort it by date, saved as csv and then created the t6 file by this script:
Code:
void main()
{
	string MyAsset = "VIX";
	dataNew(1,0,7);
	dataParse(1,"%d-%b-%y,f3,f1,f2,f4,f6","History\VIX.csv");
	printf(" %s",MyAsset);
	dataSave(1,strf("History\%s.t6",MyAsset));
}

I hope that's how I did it, I am not sure if I remember it well.