LO4.0 does no longer support the .sdw format. But you can download LO3.6.6 which still supports it and install it as an administrative program. Refer to this wiki.
To download the older version goto LibreOffice download site for older/newer releases.
Please rmp, take a look to this thread:
Get the portable version for the latest build in the 3.6 branch from
and use it to convert any StarOffice documents to ODF. No need to install.