The Sony Reader is not a USB host, so you probably can't connect it to the Reader via USB.
As far as using it with Connect software, I doubt it's of any benefit, but it would look like any other hard drive to the PC, so it should be usable as such.
If you are thinking of using it with the Reader, I don't know of any USB-to-SD plugs, but why try that anyway? SD storage is pretty spacious and convenient anyway. I can't imagine any scenario that would be useful to plug a hard drive into the wall socket and a Sony Reader to expand storage.