If you want to digitize you need a program for that. EmBird is a good program and easy to use besides there are some great groups and tutorials. You could also buy some designs and then just insert your own text.
Most embroidery files come as a ZIP file so will need to be unzipped or extracted to be able to go onto the Thumb drive as a file that an embroidery machine can read. PM me if I can help further or any other questions.
Kirsten