When you download an embroidery design, it is normally inside a "zip" folder. Step one is to "extract" the embroidery designs from the zip folder.
In case you're not familiar with a "zip" folder... It is a container that is used to store files to be transported through the internet. A good analogy is if you were taking a vacation and bringing clothes, shoes, toiletries, etc, with you, you would put them inside a suitcase and then before you transport it you would ZIP IT UP to prevent things from getting lost while on your trip. When you arrive at your destination, you would UNZIP your suitcase and "EXTRACT" your things from it. Same way with files downloaded from the internet.
All versions of Windows from XP forward have included an un-zipping program with Windows. You don't need to buy any unzipping software like "WinZip" and you don't need to get a free unzipping program like "7-Zip" or others. You can unzip a zip folder by simply right-clicking on it and choosing "EXTRACT" from the Windows menu that pops up.
Pay attention to where the extracted files are put in the unzipping process. By default, Windows will create a new folder that has the same name as the zip file does. So if the zip file is called "embroidery-designs-123.zip" then Windows will by default place them in a new folder called "embroidery-designs-123" on your computer.
You can use the "BROWSE" button to choose where the new folder will be placed. Once you choose a place then future extracts will normally go to that same place unless you browse to a new place.