When you download the multi-piece applique design, you will find multiple files. One is an embroidery file, and the others are dieline files marked with the letters "DL". Dielines are used to cut the fabric to the correct shape and size.
Open each dieline file with an embroidery software, and print it. If you do not have embroidery software,
Wilcom TrueSizer is a free program to use. Print enough copies so you can cut out each shape.