Hi and welcome!
What device is the software on? Where are you downloading the program to on the computer? Make sure it is in the right place and not in a sub-program (like the photos). The program should open on it's own not in the photo program.
I don't know your specific software, however, you would simply open the program and then "open" the design you want to work on. In the "open" tab, you need to know where the design is stored. This could be the downloads, a CD, another USB, or any other drive that you use for designs.
Typically, designs are transferred to the USB and then to the embroidery machine. You don't need to have software unless you are changing the design in some way like size, etc.
I keep 2 separate hard drives. Designs are downloaded from web-site and then categorized into proper files. I also list them on excel sheets and put in a notebook. I can check over them when deciding on a design or looking for something specific.
Hope that helps!