Books on Board have good on-line instructions. First you
download Desktop ADE and register for an AdobeID. You may have already done this step, but you must have an AdobeID to authorize your Sony. The fact that you bought an ePub on-line and can read it suggests that this is working, but if you did not enter an email address and a password, that might be the problem (no AdobeID).
Then you
plug in your Sony via USB and "follow the prompts". Follow the prompts isn't going to help you much. Their
EZReader help page is a bit more specific, and I think the process is always the same.