This document covers the options for adding DEM data to ArcView.
SDTS data: If you have downloaded an SDTS file from the USGS site, you can use the SDTS Raster to GRID Utility to convert the data into an ArcInfo grid. You can then add the grid data as an Image theme or as a grid theme with the Spatial Analyst or 3D Analyst extensions. See: How To: Convert SDTS raster data to an ArcInfo GRID
DEM data: If you have downloaded a DEM file from the USGS site, make sure the file has a .dem extension and import it into ArcView.
Turn on the Spatial Analyst or 3D Analyst extensions.
Open a view.
Select Import from the File menu.
Switch the dropdown list on the Import Data Source dialog box to USGS DEM and click OK.
Navigate to the location of the DEM file and click OK.
Enter the name and location of a new grid and click OK.