I am tempted to agree with Bob on this; I have not heard anything good about the BBB in terms of their effectiveness (or even their relevance these days). One other agency not mentioned is the FTC; I'd suggest filing a complaint with them as well.
In terms of your case, I assume you have a copy of the order confirmation email which specifies the "Golden Dry" rope. A photo of the product received, with a clear check on the non-Golden Dry option will also be needed, and you're good to go. Don't worry about any SKUs on it, but you might want to take screenshots of their website in case they list the same SKUs for both products.
Now, here's my entirely un-vetted, un-reviewed, and potentially dangerous advice:
0. Assemble the aforementioned documentation (confirmation email, photo of product received, any other correspondence).
1. Notify the seller you cannot accept the product shipped because it does not conform to the description in the order confirmation email, and that you still expect them to ship the correct product within N days.
2. Notify the seller that you will store the originally shipped product for X days so that they may make arrangements to retrieve it. (If they provide a pre-paid shipping label or are willing to accept COD, that should be sufficient.)
3. Place the first rope in your closet, someplace safe, and ignore it until they come get it, pay for its shipping, or X days pass.
4. If they fail to ship the proper product after N days, have your credit card company reverse the charge.
5. Since the product is a climbing rope, consider letting someone you dislike use the rope the first few times. (You know, in case the merchant decided to accidentally leave it near battery acid or something.)

