There are many tutorials available on the web related to the conversion of files to PES format supported by the Brother machine. However, you don't have the possibility to convert all the files. Most of the supported files are JPEGs and the formats exported by the Adobe Illustrator. For that I recommend checking the tutorials on the Google Search to obtain additional information and the necessary steps. There are also video tutorials for this purpose.
Google Search: http://goo.gl/G6ZiKA
