You need to have conversion software to change the format. Wilcom True Sizer is one and it is free. There are others as well. If you have Digitizer, it will do the trick as well. When you purchase designs select the .jef format. I'm sure you have already discovered that and will in future. You could also contact the place you purchased your .sew format and they may convert them for you.
Google free embroidery design viewers, you should get sites for 3 or 4 design viewers . My Editor; Tes viewer; Wilcoms True Sizer; Ambassador any of those will allow you to open a Sew design then save as Jef.