Hi, it is confusing I know
I have a Sony reader 600 - I am not a technical whiz by any means but I have successfully read books in epub format and also pdf files on it. Using the free Calibre software (look in this forum) you can convert say text files to ebook formats too.
I've never used the Sony store to buy books. There are plenty of websites where you can download free books (I think it is books published before 1920 something that are available) and also I borrow epub books from the library and have bought some online from WHSmiths - which is a UK site.
epub is the industry standard ebook format now and so many ebook sites support this so you should be fine if you wanted to go down the sony route.