What commands did you use? I have no problem loading the file with Import. The package is under development so it is not a real Mathematica package.
Please try these commands:
Import["https://raw.githubusercontent.com/antononcube/MathematicaForPrediction/master/Misc/RSparseMatrix.m"]
rmat = MakeRSparseMatrix[SparseArray[RandomReal[{0, 1}, {4, 5}]]]
SetRowNames[rmat, Characters["ABCD"]]
SetColumnNames[rmat, Characters["abcde"]]
MatrixForm[rmat]
You should get something like this:
Further, commands like this:
MatrixForm[rmat[[{"A", "D", "C", "B"}]].Transpose[rmat]]
seem to work:
