I'm surprised your Gazelle didn't come with a paper manual? Mine did, but it's much older. Anyway, I haven't used my Gazelle much, but if I remember correctly it had it's own format WPC. I remember it was a pain trying to convert file types to something the Gazelle could use, which is one of the reasons I gave up on it and bought a Cameo, but that might be different with the newer software.
If I were you, I would just use Google to ask whatever questions you have regarding the Gazelle, and most likely someone has already had the same question answered. That's what I always do.