Hi and Welcome!
The Reader Library is quite a bit like iTunes (organizationally speaking) - it will show you what you've bought/uploaded into your library. If you have any books from other locations, and they are formatted in a way the Sony can read, you can import them thru the Library - if you're using a Windows version, look under the 'File' button for an 'Import File' function.
There's a whole board dedicated to Calibre on this site -
here - that would probably be the best place to ask questions.