Ella, if you simply want to convert stitch formats, for example Brother Pes format, Husqvarna Hus format to Jef, all you need is an editing program, there are a couple of free ones.
There are several purchasable ones, one I like is Sew What pro, a no fuss, no frills, affordable editor,
http://sandscomputing.com/products-shop/ They also sell a range of embroidery related programs, well worth looking at.
Another program, https://www.embird.net/ is Embird manager/editor, you can add various plug ins as you become more adept at using it.
If however you want to create your own designs you will need a full digitising suite, and they don't come cheap, they are extremely powerful CAD based programs, the ones I use as they suit my user interface preference are Wilcom's Janome MBX version 5, (Janome USA did remove it from dealers ordering lists, but it is back on them again, as Janome Japan makes the decisions) Hatch version 1 and Wilcom's Embroidery Studio version 3.
I also use Embird Studio, and Generations Plus, the latest version. However neither of these really suit my preference for a single screen usage. I do not like having to move between a digitiser then an editor to alter things or create in a digitiser then move to an editor to create different formats, and the Wilcom software, MBX and Hatch doesn't impose a need to move from one module to another to do what I want.
Maggie Cooper UK