If you want to load the wine data set directly from the link, you can use the webread function, else if you want to load the wine data set after downloading the file from the link, you can use the load function. Below is the sample code for the same.
Load data directly from URL
url = 'https://archive.ics.uci.edu/ml/machine-learning-databases/wine/wine.data';
options = weboptions('ContentType','table','ContentReader',@load);
data = webread(url,weboptions);
Load data from downloaded file
data = load('wine.data');
Hope this helps