Many embroidery files come as zip files that contain all the different platforms. I keep a file section for all my embroidery files and create a sub folders for new files so I can find them quickly. I have learned to use my file directory very well with DL'ing hundreds of thousands of designs. It just takes practice. Having each topic of designs grouped together is a big help.
For a newby just make a folder for your embroidery designs and once you have d/l to the d/l folder move or copy it to the new folder.
To d/l the file from on site to your computer follow the instructions on the site. Each site can be a bit different.
I hope I have made sense. I have been doing this for so many years it is something I do by rote anymore. Now I have so many I don't d/l many anymore. Heck I have enough to fill a 120g thumb drive.