I think you can use the linked files to generate stls. The trick is a 3rd-party application called itk-SNAP. Here are the steps that worked for me just now:
install and open itk-SNAP
Download the annotation file and load it as a main image into itk-SNAP by using File->Open Main Image. Now I see:
To save meshes out, go to Segmentation->Export as Surface Mesh. This opens up a dialog, with options to export one or all meshes. I chose “separate files”, and on the next page of the dialog changed the file format to stl.
As a sanity check, I then imported these stls into blender. Looks alright!