I just copy the CD into a directory I set up on my computer. Then I delete the files I don't need off the computer (they are still on the CD if I ever need them again). My machine takes PES files and most CD's come with them in many formats, so I delete all of the other formats. That way the only thing I'm coping to the USB I plug into my machine are PES files and nothing else. I keep the PDF and text files on my computer,
BTW - I'm assuming your computer has both a CD reader and something that can read the card that goes into your embroidery machine. The last time I did this (I buy mostly digital designs) it had been so long I couldn't remember how to get my CD drive open!