You can convert those types of formats into other embroidery formats, but you'll need a program such as the company's Buzz-2-Stitches program to convert a JPEG image into a PES.

How to Convert Illustrator to the PES Format. The PES format is the native embroidery file format for both the small home-oriented Brother PE series of embroidery machines and the larger semi ...

A file with .pes extension is an embroidery file that stores stitching instructions for sewing machines. Use these free tools to open them.