Save layer file as feature

Hi folks,

I am accessing data off this server - http://geoservidor.minam.gob.pe/arcg...dios/MapServer

The link offers an option to view the data in ArcMap, by clicking the "ArcMap" button. This downloads a .lyr file with the data I need. However, I cannot seem to export this layer file and save it as features or as a .shp file. I am using ArcGIS version 10.1 and the "Export Data" function does not seem to exist for this type of .lyr file.

The data source of the .lyr file (accessed in "properties") shows the following information -
Data Type: ArcGIS Map Service
Connection: Internet
Server: http://geoservidor.minam.gob.pe/arcgis/services
Name: zee_mdios
Map Service Type: Not Cached

Can anyone advice me on how to convert the .lyr file to a .shp file? Or how to acquire the original data?

Thanks,
Neha