I would suggest getting a neutral format file such as STEP. NX 8.5 is about 4 years old now; if the SLDPRT is from a version of SolidWorks released after NX 8.5, then NX probably won't be able to read the newer file format. Check the NX 8.5 MR and MP release notes; the ability to open other file types is occasionally updated through MR's or MP's. If you must be able to read that version of SLDPRT file, you will probably need to upgrade to a newer version of NX.
The file the OP was using is from Grabcad. I downloaded the model and will only read into NX10 or later.
The version of Solidworks that the file is created in is too new for NX8.5 or even NX9.
Get NX10 and it will work with no issue.
Anthony Galante
Senior Support Engineer
NX3 to NX10 with almost every MR (29versions)