When you download the embroidery pattern from the website, after choosing your PES file, most of the sites I've bought from offer you the choice of having the files sent to your computer as a zipped or unzipped file; or you can download them yourself, zipped or unzipped.
Make yourself a file on your computer (I use my desktop with a file entitled, "Embroidery Patterns" and then have subfolders in that file that generalize the categories: flowers, animals, baby, scenery, Christmas, music, whatever you want) and that's where you send your files, to that desktop file, anyway.
The mistake I kept making when I started embroidering was to try to open the patterns from that file. I have since learned that I can only open the patterns once I'm in my embroidery settings, ready to sew. So if your machine is like mine as far as software goes, you'll need to get your sewing machine set up, load up your software and make sure it's ready to work, and THEN you can go find your pattern on your desktop, click on the pattern you want to use, and it should appear on your screen.
It sounds like you also have to put your patterns on a thumb drive to plug into your machine (Mine attaches via the computer to the sewing machine) so if that's the case, once you've downloaded your patterns to the desktop, right-click on that "Embroidery Patterns" file, then either "copy" the patterns and paste them on the thumb drive, or hit "Send to" and click on the thumb drive that should show up as being available to have something sent to it.
I hope you get the bugs out! I love embrodering on my machine (if you consider sitting and watching the machine do all the work as you doing embroidery!) It's an amazing thing!