How do I open Embroidery files I've downloaded?

Hi,

I have a Macbook Pro and I've downloaded several embroidery files, from different sources, but can't open any of them. Apparently some the files are zipped and need to be opened before I can use them, plus I can't even open any files which haven't been zipped either. My aim is to eventually download the opened files onto my Janome Horizon MC12000, which supports Jef files, either via a memory stick or via a USB. Several of the files are multi format and all include Jef. Do I need extra software for my Mac?

I'd really appreciate your advice.

Thanks!