sadly you've fallen into the same trap as many others discovering ebooks. pdf is not a good format for reading on a dedicated device, unless it has been formatted specifically for that screen size, because (as you have discovered...) while it does an admirable job of displaying a set layout, it does not adapt to different layouts gracefully at all (mainly because the format was specifically conceived to do precisely the opposite of that).
the best format to get is epub ; it will "reflow" (adapt to the size of the screen while preserving layout and document styles) which means you can zoom or read your book on any device you have available.
i don't have any experience personally with ebooks.com but you might try contacting their customer support. explain your problem, and if the book is available in another format, ask to exchange it. if it's not available you can try requesting a refund. i don't promise this will work, but it's worth a try.
if the book is not available in epub format, other formats can much more easily be converted to epub, including .lit (MS Reader) and .mobi / .prc (Mobipocket). you must remove the drm first to convert them ; we can't give you explicit instructions for that in the public forum but google is your friend.
if you can't get a refund or an exchange, it's worth trying to convert the pdf. you can do this with calibre, for example. conversion of pdfs tends to give variable results (to say the least...) and require more work than converting other formats, but it usually can be done.
good luck ! if you want to try reading a few books in a format which is better suited, why not try a free book ? we've got thousands available here, just click on the "E-Books" link at the top of any page, and select epub (or lrf). or you can try a site like feedbooks.
to answer your questions,
1. try calibre (free download, see the "calibre" forum here) ; you'll have to remove the drm first (google)
2. pdf wrong format ? short answer : yes. best to get epub, or another reflowable format in future. wasted your cash ? not necessarily.
3. different people will give you different answers here. we've got a list of ebook stores in our wiki (link at the top of any page), and for a quick price comparison across multiple stores, try a site like http://inkmesh.com/
4. just the information that pdfs are rarely formatted for a small screen, and reading a large (page size) pdf on a small screen is an unpleasant experience.
feel free to take a look around and ask any more questions. we've got some very knowledeable people here who can help you with anything. welcome to the forum !