Solidworks doesn't give you the option to open a .psm, although it does give you the option to open .psd and .asm files. Of course, you can also open all sorts of other files - like .ig(ues)s, .x_t/x_b, ad naseum.
What I have done in the past to open a .psm part is to save it as a .asm and open the assembly - when Solidworks opens the assembly, it creates native part files for all the assembly components - and there you'll have your converted sheet metal part.
It is, however, a simple imported part sans feature tree, etc.
