A couple more questions to trouble shoot the issues.
Is the file on your computer a "zipped" file from a download? If so, you need to "extract all" first.
Next, do you have software to change the format? Try the exp or exp+ format. It may be that you have the wrong format and the machine doesn't recognize the format.
You may have the format in the design. Check to see if it is listed in the design files. If you purchase from a web site, you generally choose the machine format at check-out.
What is the SIZE of the design? Even if the stitch count is within the machine limits you still have to factor the SIZE.
Hope that helps!