Start by creating a folder and naming it Embroidery. When you download, save to this folder. "Browse" is usually an option to help you find the location you want to save the download to.
Once downloaded, the file (design) may be compressed/zipped. It has to be opened as the EM will not recognize the file. The file will have a "zipper" on it. Highlight the zipped file by moving the cursor to said file and left click. A small screen will appear. Right click on "open" or "extract". Rename the file if necessary for easy identification.
As you collect files (designs) you may want to create sub-folders and name them according to what they contain.
If you are using a flash drive, insert it into the PC. Now find the designs you want to send, highlight/left click/select send to the removable disk/right click.
If you are using a direct connect cable, connect it to the EM and PC. Check the computer to see what letter has been assigned to the direct connect and then send the designs to that drive.