Learn the machine first.
I have read so many post at several Machine Embroidery forums regarding problems new crafters are having with their embroidery machines. Many of these are machines purchased from the Internet, big box store or from a previous owner. Nothing wrong with these options (my first was from a BB store). There just aren't any hands-on lessons, unless the previous owner is so inclined to help you.
The problems are almost always user error.
First error is not following the manual. Instead it is thought it is the machine, the thread or the tension. This can start out as a hunch, but then can be reinforced buy well meaning embroidery machine owners who may or may not have had a similar problem. Soon, it can seem over whelming.
"My machine does not like (this or that brand of thread) is the one that really floors me, when how the thread is feeding from the spool can be the reason for the problem.
For sucessful machine embroidery - sit down at the machine with the manual. Start at page one and do not skip around the pages or go by the graphics alone. Read and apply. This may take an hour or two, but is well worth it when compared to the amount of down time that could take place (or ruined projects) when the thread gets tangled in the auto threader, under the feed dogs, or for some brands/models, the wrong weight of bobbin thread is used.
First project - don't start with a onesie or a bath towel. Both take some finesse - read the blogs from the experts here at ATG. Practice on an old t-shirt or tea towel. Both are plentiful at my house. 
Use the designs that are built-in the embroidery machine before attempting the downloads.
Next - invest in a basic software package (this will help you actually see those downloads* after they have been opened and saved). Be sure to note the system requirements to be sure your computer's operating system can run the software. There also are invaluable tutorials; videos or in print. Again, this is all available at ATG. If you cannot find what you want at "SHOP" try "BLOGS" at the top of the screen/page, or "LINKS" at the bottom of any screen/page on this site.
A successful embroidered project is always a good reason to do the "happy dance". 
*How to save the downloads - your computer's operating system should have an option to create a folder in "documents". Create the folder and give it a name you can easily recognize. Start sending downloads to this folder. The download will be zipped/compressed for faster download time. This file has to be opened/extracted/unzipped, depending on the language the OS uses. The opened file is the one you save. There may be a design file as well as a text file with a color chart. As your collection grows, you may want to create sub-folders with names, such as fonts, flowers, animals, etc.
It is best to back-up the folders on a flash/stick drive or disk just in case the computer should malfunction or crash and loose your files.