My brother came with a program for purchased patterns. Brother usually uses the pes embroidery. The program I got was "Baby Lock". You can also get online a free program called "Wilcom TrueSizer" which allows you to pull a design into the program and enlarge it. I find that really helpful sometimes.
The files you download are almost always zipped files. You probably need to unzip the file you downloaded and extract the embroidery pattern.