It looks like you are going to have to do some work on each file yourself. The first problem is that the file names don't have the suffix .mid or .midi, so notation software doesn't recognize what they are.
Musescore does a reasonable job importing the MIDI, but the end result is four separate staves not a piano score. Maybe you can read that easily, or maybe not!
You get time signatures and key signatures, but the pickup bars aren't recognized so the bar lines are in the wrong place.
There is the usual problem with accidentals - MIDI only defines the pitch of the note, not whether it should be written as F# or a Gb, etc.
For example the first Cope chorale is in D major and modulates to B minor, but Musescore writes F naturals instead of E sharps.
To add the .mid extension to all Cope's files in a directory, open the Windows command prompt, change to the directory, and type
for %f in (bach-*) do ( rename %f %f.mid )
To convert them all to MuseScore files, you probably want to create a batch command file called say "convert.bat" containing
for %%f in (*.mid) do (
"C:\Program Files (x86)\MuseScore 2\bin\MuseScore.exe" -o %%~nf.mscz %%~nf.mid
(Note, this is three lines, and the parentheses after "do" must be at the end of the first line otherwise it won't work!
Save this in the same directory as the MIDI, files and run it.
The MuseScore command line options are described in https://musescore.org/en/handbook-appendix/command-line-options.
If you want to create .xml files, just change the "mscz" to "xml".
There are many tutorials on the Web (of varying quality!) on writing Windows batch files.
This is what the first page of Cope looks like, cleaned up (but not in Musescore or Finale!)