Here is a link that tells you how to get started with the Sony Reader software and store.
http://ebookstore.sony.com/howitworks/
If you want to purchase books from other places besides Sony (just not B&N), then you need to download Adobe Digital Editions and authorize your ereader. Here is one bookstore that works with Sony and an explanation on how to setup ADE. Just a friendly tip: make sure you make your Adobe Account email the same as your Sony Reader Store Account email.
http://www.booksonboard.com/index.php?F=helpSony