No special software is needed to download.
Catalog Xpress helps to sort and view (and a few more things) all designs you have on your PC.
There is a free trial, but you might want to get comfortable with downloading, saving and finding the designs, then using CX.
Create a folder in your documents for the downloads. Then copy them to the method you are using for sending the designs to the embroidery machine - card, floppy, cable or flash drive.