I downloaded AdventureWorks 2012 from Microsoft's sql-server-samples but how to import the database (.mdf + .ldf) into SQuirrel SQL?
SQuirreL is not a database server. It is a querying tool that connects to a database server.
You need a copy of MS SQL Server installed on a Windows PC. Then you need to import Adventure Works into it.
Once you've done that you can connect using SQuirreL and the appropriate JDBC driver.