Looks to me there are two general avenues that can be taken: some alternate way to read the CSV in the SQL script or convert the CSV beforehand with any of the numerous ways you can do that (bcp, unix2dos, if it is a one-time king of a thing, you can probably even use your code editor to fix the file for you).
But you will have to have an extra step!
If this SQL is launched from a program, you might want to convert the line endings in that program. In that case and you decide to code the conversion yourself, here is what you need to watch out for:
1. The line ending might be \n
2. or \r\n
3. or even \r (Mac!)
4. good grief, it could be that some lines have \r\n and others \n, any combination is possible unless you control where the CSV came from
OK, OK. Possibility 4 is farfetched. It happens in email, but that is another story.