Don't use the Catalogs tab in Stanza. That links to the Lexcycle website which has been taken offline since around November 2011. Instead go to the Shared tab and manually add book feeds there using Edit >> Add Book Source.
Here are some common sources you might want to add:
Name: Project Gutenberg
URL:
http://m.gutenberg.org
Type: OPDS Catalog
Name: Feedbooks
URL:
http://www.feedbooks.com/catalog.atom
Type: OPDS Catalog
Name: Smashwords
URL:
http://www.smashwords.com/atom
Type: OPDS Catalog