Go to the screen that shows the list of the downloaded design. Right click on one of the design titles. Click on 'Extract all'. They have to be extracted from the zipped file in order to be processed by your machine. Save these embroidery files in a separate file you create so you can easily identify them. Hook up computer to machine via USB (if not using Flash Drive). From Start Menu, open 'Computer', you should see which drive is attached to your machine-open this window. Click on the embroidery file you want to embroider, and slide it into the window you just opened. The embroidery design should show up on your sewing machine screen.
Depending on what programs you have installed on your computer, this is one way to do it.