Kelly is quite right, you don't need the Sony ebook library to download ebooks from a library. When you download your book, a box will open asking if you want to save or open the file. Click 'open' and Digital Editions will automatically open and save your book. You can read your book on Digital Editions as well.
When trying to connect to Sony's ebook store with the ebook library, have you tried disabling your firewall software? I believe Norton 360 often causes connection difficulties. There is a thread around here somewhere about it...I will try to find it. There might be some useful information, even if you don't have Norton.
https://www.mobileread.com/forums/sho...ghlight=norton