First when having a problem, it helps if you can quote a topic.
I have now found a Free Embroidery kindly offered by pitterpatter94 that has several formats to download
so will use this purely as an example.
This particular free design is offered in 4 different formats.
.pcs .jef .hus and .pes
There are 2 ways to download a design.
Left click and save
Right click and select the option 'save target as'
If neither of these work for you.
I suggest you try downloading the 4 different formats on this topic to compare each one.
Left click and then click on Save - now take special note each time it should show at the bottom of the File Download Screen
Save as type:
- this will change according to the format.
When I download three of them had .pes document or .hus document or .pcs document etc
But as I have Janome software it will show Save as type
as Import Customiser for the .jef download.
Check in particular what appears in the Save as type:
box when you download the .jef