They're listed by size and alpha order.

You HAVE to have an embroidery software to recognize embroidery files, Windows Explorer won't show you all that information. The lady can send you only PES and DST files in the different sizes and you still wont be able to see recognized them in Windows 7/Vista/XP!

When you have SEU open, you can see all your files, the full name, file type. That's why you need to have it open. So open up SEU even if you don't want to edit the embroidery file itself, you need it to be able to read the design file names that you have bought to transfer them to your USB or embroidery card. Once you are able to see all the different files, then pick the design you want... butterfly_4x4.pes and copy to your USB drive, paste. You're can then take it to your machine.

Don't fight the logic, just follow what the software engineers want you to do. They are the Gods of the world in technology...