A sdf (.sdf) file is one of a family of file formats from MDL holding chemical data, especially structure information. "SDF" stands for structure-data file and SDF files actually wrap the molfile (MDL_Molfile) format. Multiple compounds are separated by a delimiter, a line of four dollar signs ($$$$). A feature of SDF is the possibility of storing associated data items.
The example of SDF file can be downloaded at HERE.