Unfortunately, Sony Reader can't display Cyrillic alphabets out of the box. You need to install your own custom firmware.
Do a search for "Sony reader russification" or "russify sony reader"
Here's a link I found useful:
http://iheartpaperbacks.com/sony-prs...-the-firmware/
The firmware you need is called Boroda firmware. Here's a link (off that page)
http://translate.google.com/translat...61a576029cd1d6
Follow the instruction to install the firmware. Skip the instruction for custom font.
I used Boroda firmware at first before using PRS+ firmware.
Another alternative firmware is PRS+:
http://code.google.com/p/prs-plus/
The PRS+ firmware is also an alternative firmware. I have installed that now. I believe the PRS+ firmware allows Cyrillic alphabet also. (can anyone confirm is PRS+ displays Russian epubs?) I know Boroda firmware is designed expressly for Cyrillic alphabet. (PRS+ adds features to the OS, Boroda firmware doesn't). If PRS+ also allows for Cyrillic alphabet, I would recommend it over the Boroda firmware.
EDIT: according to the feature chart on the
http://code.google.com/p/prs-plus/, PRS+ displays Cyrillic alphabet. Can anyone confirm just to make sure?