In most cases, ebooks are "sideloaded" from your computer via a USB cable. Sometimes they have to go in a particular folder. The most likely formats to display well are ePub and FB2. Most ebook readers that support ePub use Adobe Digital Editions software and support Adobe DRM (encryption), but I doubt the A121 does this. My guess is it uses DRM-free only ebook reading software. This means that you need to strip the DRM, if any, before loading onto the A121 - see Apprentice Alf's Blog for more info.
I suggest starting with an ePub from the
Patricia Clark Memorial Library. These are all DRM-free. Copy one via USB to the A121 and try reading it.
Were you trying to download an ePub from a store that sells Adobe ePubs? To do this you need Adobe Digital Editions on your PC/Mac and you should register it (to get an AdobeID) before downloading any ebooks. These are encrypted and most likely you will need to strip the DRM after downloading to your PC.