It sounds like you need some basic Windows training, which is a bit beyond the scope of this forum - but perhaps this will help....
You can either move the CCFs from your "My Documements" folder (which is apparently where you downloaded them to) to the folder where you installed ProntoEdit....
Or, after you start ProntoEdit, when you tell it to open a file, navigate to your "My Documents" folder to work with them there.
If the CCF files are still compressed (.zip filename extension), you'll have to unzip them before you can use them. If you're using a newer version of Windows, you can do that with Windows Explorer (look for it under the start button). If not, you'll need something like
PKZip or
WinZip to uncompress the files.