When you're in the McMaster site, choose the product that you want by drilling right down to the actual McMaster catalog number. At that point it will give you the option of downloading a 3D CAD file where the default file type is a native Solidworks file. You can of course use this SW file but you might find that your version of SW (student edition) may not be able to read it for one reason or another. So, instead of a SW file type download choose the STEP option - the student edition should be able to open it.
When SW asks you if you want checking or feature recognition, answer in the negative, and give it a few seconds to build the part. Save it.

Be aware that the McMaster STEP files produce very detailed geometry right down to the spiral threads on screws. If you have many screws in your design you might find that your CPU/memory gets bogged down, and your graphics processor works orders of magnitude more. While such detailed geometry is aesthetically appealing, IMHO it's not worth the degradation in performance of your computer. So, as I said before, cut it, dear Henry, cut it ...