This paper studies a cell-free massive multiple-input multiple-output (MIMO) system where its access points (APs) and users are equipped with multiple antennas. Two transmission protocols are considered. In the first transmission protocol, there are no downlink pilots, while in the second transmission protocol, downlink pilots are proposed in order to improve the system performance. In both transmission protocols, the users use the minimum mean-squared error-based successive interference cancellation (MMSE-SIC) scheme to detect the desired signals. For the analysis, we first derive a general spectral efficiency formula with arbitrary side information at the users. Then analytical expressions for the spectral efficiency of different transmission protocols are derived. To improve the spectral efficiency (SE) of the system, max-min fairness power control (PC) is applied for the first protocol by using the closed-form expression of its SE. Due to the computation complexity of deriving the closed-form performance expression of SE for the second protocol, we apply the optimal power coefficients of the first protocol to the second protocol. Numerical results show that two protocols combining with multi-antenna users are prerequisites to achieve the suboptimal SE regardless of the number of user in the system.