You need to connect the Reader to your computer to get books onto the Reader, regardless of what type they are.
The Sony Reader has no wi-fi ability; it can only read books from its internal storage, either its original drive, or one of its memory cards. (You could transfer books to a memory card without connecting the Reader, and then put them in the Reader, without connecting the Reader itself.)
Once your Reader is connected, you can use the Sony library *or* Calibre *or* Windows Explorer (drag-and-drop) to transfer ebooks to the reader. (You can use all three of them if you like; I go back and forth between Calibre and Windows Explorer. I gave up on the Sony library very early.)
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