Almost all Brothers have the .PES extension. Your sewing machine manuel would be the best place to make absolutely certain. I have a Bernina so am no expert on brother. Perhaps another person from the community will be more help ;)

Yes, PES is the format that you want. Depending on how you get your designs to your machine (Magic Box/Amazing Box, USB, etc.) you might be able to use some of the others (HUS, DST) but your software would have to convert them, so sticking with PES whenever possible is best.

Brother has a website. You can go there and find out anything you need to know about your machine. Pick up a copy of your manual. http://www.brother-usa.com/manuals/default.aspx?ProductGroupID=3 They have some freebies...would be a good way to test your machine. http://www.brother-usa.com/HomeSewing/GetCreative/free-designs.aspx