No you do not need Embird software for just downloading designs. Pes is the stitch format that your machine takes. Different machines takes differnt formats. As long as when you down load designs off the internet in pes format you will be alright. And a lot of digitizers whom are so nice and give out free designs in a zip file has all of the stitch formats in that file. As for embird it does many and is use for when you are getting into some form of digitizing.
Hopes this helps and welcome to the wonderful world of embroidery. It is very addictive.