The directions in the SE400 book are fairly clear.
Turn off the machine to add the embroidery unit. Make sure you change the foot before you start or your needle will break.
I learned that the hard way.
When you turn the machine back on it (the machine) will walk you through a few steps.
If the design you have picked takes more than one color, it will tell you when to change colors.
Don't forget to stablize your fabric.
Have fun playing with it.