How to transfer back up files from pc to mac

I recently purchased the My Book Live because I was switch from a PC to Mac and had a lot of music and media I did not want to have to manually re-download. I backed up my PC music and videos onto the My Book and have been trying to transfer these files to the mac. I’ve been trying to use time machine, but every time I put in my username and password when I select the My Book Live as the back disk I want to use, it doesnt do anything. I was hoping someone could help me with this. Thanks!

What program did you used to backup your files from the Windows computer? Time machine only works for restoring files from one Mac to another.