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First of all, it's the Kindle that's associated with Amazon, not the Sony Reader. :-)
Having said that, both will let you copy file onto them via a PC, although (as you might expect) that's the primary method for the Sony whereas doing so on the Kindle (in fact, using it outside the US) will be missing out on it's strong point, which is the wireless integration.
Anyway, for the Sony, yes, you simply download to a PC (or convert from other formats, which is also fairly simple) then transfer to the Sony. This latter can be either just copying it, as the Reader shows up as a USB storage device, or by using the (Windows) Sony eBook Library software or via the open-source, multi-platform libprs500 application.
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