The .acsm file isn't your e-book, it's more like a ticket to download a DRM-protected e-book. You can use Adobe Digital Editions to "redeem" the ticket, or simply use Sony Reader Library (the only Sony-compatible option if you're on a Mac).
If you already have the software installed and authorized, just double-click the .acsm file. If you're prompted to choose a program to use to open it, choose "Reader Library". The e-book will then download and be ready to transfer to your Sony Reader.
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