ETL is extract/transform/load. So basically you'd be taking your raw data, extracting it out of the files and transforming it into a sensible format or data structure, and loading it up into a persistent data store.
A million rows per column is much more reasonable than a million columns. That's still a ton of data depending on how many parent rows the associated rows have. I have some ideas but honestly it's probably best to get your co-workers feedback since they know the data and ask whatever other specific questions you have.
Three thousand years of beautiful tradition, from Moses to Sandy Koufax, you're god damn right I'm living in the fucking past