Let's say you've found a compressed .e00 file (with a .gz extension, indicating the form of compression) at a site like USGS (see http://water.usgs.gov/lookup/listgistheme for a list of available datasets). Say it's the 1987 ag_stock dataset, about 3.5 MB in the .gz form, which you can retrieve by ftp using the browser, save to a local directory of your choice, and
Into this you'll type the full path for (a) the .e00 file and (b) the destination you choose:
A DOS window will open and (assuming you've specified the path correctly) eventually you'll see the unpacking process, ending with "hit any key when ready". In the example above I specified that I wanted the proceeds of the conversion to go into a folder called 'stock', which the Import program created.
Now start ArcView, open a new View, choose to add a Theme, and navigate to the folder where your .e00 file has been Imported. Open the Polygon icon with a double-click, and proceed as with any other ArcView project.
There are some tricky points. If the .e00 file happens to have more than eight characters in its filename ("ag_stock.e00" has 8; "ag_stocks.e00" has 9...), you'll have to enter the name into the dialog box in a form that DOS can cope with, or else it just won't work (and won't tell you that it didn't work). "agsto~1.e00" would work...