also your pc wont be able to do anything with the PES file as it doesnt know what it is so it wont open it. But your embroidery machine will once its on a usb key.
the quick flash is the downloading of the files which are so tiny, shouldve gone into your download directory. Go grab a cheap key in Aldi's, tesco, asda, any of the supermarkets will have them, i'd probably go with a cheap 2 or 4gb one, that'd give you hundreds and hundreds of designs on it at one time...