I see, unfortunately you do need a program to open that type of file, it isn't included with Windows 7. If you just want to view the file, you can download the free trial of Buzz Tools from here:
Once that software is installed you should be able to open the .PES file. The trial will work for 21 days. If you need it longer than that you would need to purchase the program, but this should be sufficient if you just need to review it quickly. Let me know if you need clarification.