It all seems really confusing and overwhelming at first but there's enough machine embroiderers here that can help you with all the questions you're going to have. There are some excellent websites with lots of good information as well. Here's a link to one of my favorites.
http://www.secretsof.com/embroiderytips/
Someone mentioned
http://www.emblibrary.com
as well. It's my favorite site for purchasing designs. Their designs stitch out beautifully and they have great sales!
Please post a pic of your new toy when you get it! And ask all the questions you need to...have fun!