BIL is a format of DEM. DEM just means "digital elevation map", although there is a .dem format, it is quite old and the term "DEM" just generally refers to any real-world data these days.
Earth Explorer is good for worldwide data, but does not have the best resolution data of the US.
When you load a DEM, Georeferencing is enabled by default. This will place your terrain in its real-world position on the full planet model in Terragen. If you need georeferencing, then you need to locate the terrain, but if you only want to load the terrain and don't need it located in the proper spot on the planet, just disabled georeferencing and you should see it show up at the 0,0,0 coordinate origin where the camera is by default.
- Oshyan