Suzie - did you read this article?
HF Digital Decoding - The RadioReference Wiki
This will give you a good head start, including many links to software (some free) that you can check out. The world of digital is varied; it depends on what you want to hear. If you are interested in maritime traffic, then a fairly simple package that does SITOR and FAX will serve you well. If you want to do amateur, then something like MultiPSK will be useful. If you want some military stuff (at least the stuff that can be decoded), then PC-ALE or MultiPSK would do the job (I should also note that Cuban number stations have been reported using PSK modes nominally only used by hams). And if you want to see the SSTV images from the Space Station (when the astronauts use it), that takes a bit more than just software.
Paying attention to the Utility DXers Forum logs will keep you pretty up to date with active freqs. You will need to understand a little about propagation - this is a worldwide list, so if someone hears something in Holland during the daytime, you might not have a shot at it here in the US....
But I suspect you've already got the idea, hi Read up and ask questions 73 Mike