Just some thoughts.
How are you "downloading" the book? If the book appears in the browser and you save as or copy paste you will not get the epub format.
If you click on a download button and it downloads the file from the browser - what is the file extension. Is it .txt, .epub or what. If .epub then coping it to the reader directory it should work - if not the .epub file might be corrupted or bad on the website. If this is the case try downloading from another site.