There are loads of free machine embroidery designs on the web. To use the, you will need to get a reader-writer box with a blank card in your machines format, such as the Amazing Box, the Ultimate box, just to name a couple. I use the Amazing Box II.
A design that is creating a lot of excitement on a Machine embroidery forum that I'm on, is this shamrock http://www.emblibrary.com/EL/Free.aspx
Here's another site with lots of freebies http://www.annthegran.com/
To do your own designs, you will have to invest in digitizing soft wear, which is pretty expensive http://www.allbrands.com/products/abc0164.html