Well there is a big difference between a FONT and an ALPHABET!!! You have purchased an alphabet. As far as the sewing machine is concerned you have collection of 26 bunny rabbits or flowers. The machine does not recognize that these are letters of the alphabet. Fonts are specially programmed files that the machine recognizes as letters that you can type in. I am not sure if there are any additional fonts available for your machine other than the built in ones.
To use an alphabet, you will have to open and position the corresponding file for the letter you want to use, the same way that you would combine 2 or more embroidery files of bunnies (or flowers :-)
Most people use an embroidery program such as embird to position the letters and create a single file that you would take to your machine and stitch out.