If you get books without DRM [Digital Rights Management], such as public domain books from
here,
FeedBooks or Project
Gutenberg, or
Baen ebooks, you can just drag&drop them to the Reader's USB drive
without any extra software.
If you plan to buy books from
Sony's store, you'll need to install Sony's eBook Library which can be
downloaded (or use the installer on the Reader itself).
There are many other shops that sell books compatible with Sony Readers. Some sell DRM-free books (such as
Webscriptions,
Angry Robot or
Pan Macmillan) - those can be just copied, as I mentioned above. The others usually use Adobe DRM and will need Sony software and, sometimes, Adobe Digital Editions, installed. Some of the more well-known are BooksOnBoard and Borders.
You can search for ebooks that are compatible with Sony Reader using Inkmesh.
Another source of ebooks for Sony Readers are public libraries (mostly limited to U.S.). See if you have one nearby
here.