i'm a new sony reader owner, but i've bought a book in ms reader format from BooksOnBoard.com. you can also search for ms reader books at mslit.com. ebooks.com also has ms reader books.
you will need to install and register the Microsoft Reader software on your computer in order to download ms reader e-books.
also beware that when i tried to download from booksonboard i found that i needed to use IE as my browser when downloading - for some reason firefox didn't work - it kept telling me i didn't have a registered copy of microsoft reader
using convertlit and prslib500 are pretty easy. convertlit can be a little tricky to get going, but as long as you follow the instructions in the readme, you should be fine. prslib500 has a nice interface and is easy and intuitive to use.
finally, i've heard from other postings on this site that Leaping Gnome offers to purchase gift codes on the sony connect store for people outside the US if you send him $ thru paypal:
https://www.mobileread.com/forums/member.php?u=6455