If it's, for example, a scanned book then turned into ePub, like some sites offer it's likely the file is too large. There is some sort of limit to what size ePub "chapters" can be on the Sony. The book has to be correctly formatted. A scanned book, turned into one single file will probably not be read bu the reader.
Someone had a similar issue with a bible not very long ago, and I also remember someone having problem with certain classic Public Domain books.
Here's one of the topics where this was discussed: