Using read.table open the vcf file directly from the URL: http://genome.grid.wayne.edu/mbg7600/1KG.asb/ALL.asb.ss.vcf

vcf <- read.table("http://genome.grid.wayne.edu/mbg7600/1KG.asb/ALL.asb.ss.vcf",comment.char="#",header=F,as.is=T,sep="\t")

Convert the data.frame object to matrix, and remove the non-genotype columns:

g <- as.matrix(vcf[,-(1:9)])