We usually download some HDX files(with .zip format) from support website,then how to load these files into HedEx Lite?

You can try the following：

Method 1

You can extract the .zip file to a local computer folder.

Then click the "load hdx file" in HedEx Lite and select the file to load in. 

Method 2

You can also download these HDX files by HedEx Lite, you click on the "documents online" to search for HDX files you need.The HDX files can be load into HedEx Lite automatically when finish download.