This is probably old hat by now, but I was pretty excited to have it work:
Last night, I used the web browser on the Kindle to navigate to
www.manybooks.net, found a likely candidate, and was able to download it directly to my Kindle's memory. It even came up with a message that asked me something like "are you sure you want to download this content?", and then it said that it will appear in my library shortly. I thought that was pretty nice. I've been downloading DRM-free books on my PC, and transferring them via the USB cable, but I was feeling lazy last night.