Unless the book is DRM-free, you won't be able to download straight to Calibre. If you download a book with Adobe DRM you will need Adobe Digital Editions, which you can get from Adobe.com, on your computer. You should be able to see the book in ADE and transfer it to your PE from there.
You can check the list of books and bookstores Calibre now includes for free book downloads, or get some from MobileRead to try. When you hook up your PE to your computer Calibre will recognize it (once you "mount" the PE) and you can then use the "send to device" feature. ADE is similar and should show your PE when it is mounted.
Good luck! Have fun! I'll check in tomorrow in case you have questions.
P.S. Be sure to use the same account name and password for ADE that you used for your eDGe Adobe registration.
