Downloads from Xbox Live are safe. It is basically a ringfenced network, so downloading something from Xbox Live shouldn't "mess up" your Xbox 360 although depending on what it is, it can change the way things look, either inside or outside of a game.
Extras that are available on Xbox Live that add things in your game, like new boots for players are called DLC (Downloadable Content). Sometimes this is free, sometimes you have to pay for it. You pay for it using "Microsoft Points" which can be purchased on Xbox Live using a credit card, or in game stores like old mobile phone top up vouchers.
Either way, the game content is usually in the same place. Using the 360 sign into Live and go to "Game marketplace". Choose "All games" and then search for PES2009 under "P". There is only one item available at the moment, and that is the update for the new England kit, which is free for you to download. Just select it, download it and then start up your game and it should be in there. Voila! If you have any trouble just post back.