The software can be very confusing for a newbie, but once you have the basics of what you need, and how it's done, you'll start moving along quickly.
You need a digitized file, such as a design, or lettering to load into your embroidery machine in order to sew something.I'm not sure what file format your machine uses.
There are some lettering and editing programs that allow you to download free trial....Buzz Tools has a lettering program demo. There is also a free version of Sierra's Stitch Era Universal available at
http://www.freeseirrasoftware.com.
In short, you create your lettering (or edit your design), save it to your memory card or stick, and load it into the machine. You could likely take a digitized design file directly to your machine without any editing.
Once you've determined what file format you need, you can go to a site such as Embroidery.com or Embroiderydesigns.com and download a free or inexpensive file.