I know if you are working in Embrilliance you can save your work as a PES (or other formats). Go to File, Save Stitch File As: and choose your format. Not sure that helps you.
Unfortunately, I do not think so...it is not a format but more like an installation file that Embrillance uses...
I googled it and found this very helpful page.
There are a number of videos how to use .bx fonts in Embrillance. I suppose you can change them to any format Embrillance supports.
I don't no other embroidery software that can use them.