This should be easy to do by now, but... we have SNP data from an Illumina exome array given to us in PLINK format. The BIM file looks like this:
1 exm2253575 0 881627 G A
1 exm269 0 881918 A G
1 exm340 0 888659 T C
1 exm348 0 889238 A G
1 exm2264981 0 894573 G A
1 exm773 0 909238 G C
1 exm782 0 909309 C T
1 exm912 0 949608 A G
1 exm991 0 977028 T G
1 exm1024 0 978762 A G
And I have all of the SNPs in dbSNP 138 downloaded as a large VCF file:
#CHROM POS ID REF ALT QUAL FILTER INFO
1 10019 rs376643643 TA T . . RS=376643643;RSPOS=10020;dbSNPBuildID=138;SSR=0;SAO=0;VP=0x050000020001000002000200;WGT=1;VC=DIV;R5;OTHERKG
1 10054 rs373328635 CAA C,CA . . RS=373328635;RSPOS=10055;dbSNPBuildID=138;SSR=0;SAO=0;VP=0x050000020001000002000210;WGT=1;VC=DIV;R5;OTHERKG;NOC
1 10109 rs376007522 A T . . RS=376007522;RSPOS=10109;dbSNPBuildID=138;SSR=0;SAO=0;VP=0x050000020001000002000100;WGT=1;VC=SNV;R5;OTHERKG
1 10139 rs368469931 A T . . RS=368469931;RSPOS=10139;dbSNPBuildID=138;SSR=0;SAO=0;VP=0x050000020001000002000100;WGT=1;VC=SNV;R5;OTHERKG
1 10144 rs144773400 TA T . . RS=1447734 ...