Hello Nina,
I, too, have the Brother Innov-is 4000D. I PE-Design, Version 6. I believe you have done all that you were suppose to do but I will present a list of items just in case:
--Install the PE-Design software. Run until completely installed.
--Plug in the PE Design card reader/writer making sure it is completely plugged in.
--Place the memory card into the reader/writer until it "clicks". A soft click and you will be able to feel that the card is completely installed.
--Go to ATG Free Designs and download a freebie. Try to bring that free design on over to your memory card. It should be all good.
If not, you can contact Brother directly for assistance. They have a great Customer Support system. They also have many FAQ listed. Good Luck.
Joan/NJ