The book you purchased is DRM protected. What happens is they don't give you the book. They give you an ASCM file which is a small pointer file that tells a licensed application how to download the book.
You can use the Sony Software or you can use Adobe's Digital Editions software. You then register to tie the book to your account and reader. Then the software downloads it. You can navigate to the directory that the software downloads the actual EPUB and import that into calibre.
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