There is much to learn grasshopper newbie - welcome to the wonderful world of machine embroidery!
Keep in mind that the computer on your embroidery machine is not a computer in the same sense of your PC. The computer on the machine is just to tell the machine how to embroider and a few things, like resizing, turning and seeing the thread colors. Most of those things are self emplanitory, except the thread colors. You may well find that the colors noted on the machine are NOT the colors you will want to use.
There are two types of letters in embroidery. The first is Monograms, but you don't mention how you are downloading. I will assume you are using a thumb drive. You will download multiple letters to the icon that looks like a computer. That is the holding place only, and when your machine is turned off, it will be deleted. Download to the machine by selecting your letters, using your Cntl key and press the letter. Right click on a highlighted letter and select "send to" the last drive on the list, it could be E or F or G. Those letters are in the icon and you will select them, one at a time, and arrange them on your Edit screen. Move and resize them as needed. You will get the hang of them, I promise.
Moving right along to words - which is a different animal as far as your machine is concerned. You want to have an alphabet font (like Darling for instance) and the software that goes with it, Alpha Xpress. This is one of the fonts and software available. You can also use your icon on your machine with the A A on it. Try it out. Many of us find that we like to have more than what is available on our machines, that is what Alpha Xpress is all about.
You may want to check out the instructions at this link. Which gives a quick project for a newbie, and a few tips as well.
You need to learn about stabilizers, I have a blog on it, there are other places to learn about stabilizers, but you may well find, like so many others have, that here at AnnTheGran, we all help each other and learn and discuss these issues.
There really is a lot of learn. Best wishes, Pat, The Avid Embroiderer