Hi, Julie and welcome to ATG.
A quick way to save your downloads is to create a new folder/file in your documents file. Name it Downloads or Embroidery or Julie's Favorites - you choose. This is where you will send your downloads, when prompted by the PC operating system (Windows, perhaps).
Most downloads are in zip files (condensed for faster downloading). After saving the download to your new document file, unzip the file and you will have yet another file - rename this so it is easy to find and open. There should be the embroidery file (pes) and a text file with colors and sometimes additional information when it is an applique.
You can copy the pes file to the embroidery machine via a product like this one -
http://www.annthegran.com/Product.aspx?t=1&i=2410 if your do not already have a reader/writer unit and rewritable memory card.
To actually view the design before sending it requires an additional software program.
This one does that and more and there is a free trial download - http://www.annthegran.com/Product.aspx?t=1&i=2567
Here are free Brother designs, if interested - http://www.brother-usa.com/HomeSewing/GetCreative/free-designs.aspx
Backup your files to a flash drive or cd. Most companies keep a copy of your purchased design downloads so they can be retrieved, but you need to keep a backup of the free downloads.
Enjoy your new machine.
Pattiann