"What do the various letters (like "HUS", "JEF", etc) mean? How would I know what kind of download I want?"

They are the "File Extensions" used by various embroidery machines...

The letters ART, DST, PES, HUS, SEW, JEF, DST and PCS indicate what format the file is in. The different formats are for different brands of sewing machines.

If your machine is made by.... use files ending in....

Husqvarna                            hus

Brother, BabyLock, Elna         pes

Janome, New Home               sew or jef

Tajima                                  dst

Pfaff                                     pcs

Bernina                                 art

(Commercial)                         fdt

Download the format that is right for the brand of embroidery machine you have.

There are other formats but the six above cover 99% of the embroidery market. If you need one of the other 1%, you can use the software from your machine's manufacturer to convert one of these formats to your machine's format.