I have theme that is .jad but i want .alx
 

I know there's probably already topics about this but it seems like no one's got it?

is there a software i can download to covert .jad to .alx?

Nope. You can't convert a JAD to an ALX.

The ALX file requires a COD file to load, and the JAD does not contain the COD file.

well what if i do have the COD file

Then if you have the cod file, find the ALX at the same place, and load both ALX and COD to your PC and load the theme!

Normally a developer will allow access to all three files if you need. If you only have the JAD and the COD, you still can't do it, as the JAD file directs the install process where to find the COD file.

What you have is a OTA install and not a DM install