Yes, if you want to read books from the Sony store you'll have to authorize your Reader. You can do it quickly, just make sure that when Reader Library is open you click Edit > Preferences and uncheck the option to start Reader Library whenever you plug the reader in. This way you can open it when you want to buy books and otherwise leave it alone. If you don't want to use the Sony store ever then you can skip this altogether.
If you want to read books from Borders or any other store that uses Adobe DRM, or if you want to download library books, you have to authorize the Reader with Adobe Digital Editions. It is
here. Again that is only something you have to do one time. You can download the software, authorize the Reader, and then uninstall it from your computer.
On the Reader's home screen, if you press More > Settings > About, you can see whether or not the Reader is authorized for Adobe DRM content. Once it is authorized you don't need to bother with it again. (at least as far as I know. I authorized mine in January and have since gotten a new computer and I have never had problems with books from Sony or Borders.)
You can manage all your books in Calibre. Just add them to your Calibre library from the Reader Library folder on your computer (default in Windows 7 is in Libraries > Documents > My Books > Reader Library) and go from there. I only ever use the Sony software to buy a book, and I manage everything with Calibre and it works out great.