I don't know anything about the WHS store so I can't help you there.
However, Amazon sells almost all their files as drm protected mobi files. They aren't compatible with the Sony without a bit of work. I would recommend focusing on buying from other sources that sell in Sony compatible formats. Direct from publishers isn't a bad choice.
For Example:
http://www.penguin.co.uk/
http://weightlessbooks.com/
Your best bets at most stores are epub, pdf, and html formats.