Hello Martina,
I downloaded your LAS file and it is readable (although that does not mean there isn't anything wrong with it).
A tip - if you search for LASTOOLS you will find a handy program called LASZIP which will convert your "LAS" file to a "LAZ" file. This tool will shrink this 164 MB file to 46 MB. You can load LAS and LAZ files into Pro and switching to LAZ format makes the files more manageable.
I gridded your data using a beta version of MapInfo Pro 17. I picked out the "ground" classified last returns and, via triangulation, produced a nice DEM. Picture attached.
Regards,
Sam.