What you need to do first is install Microsoft Reader on your PC - download it from
www.microsoft.com. When you've got that installed, "activate" it so you can buy DRM-protected books. Now, do a Google search for a program called "ConvertLIT" and run the tool supplied with that to generate a "key file" for your PC - that's need to remove the DRM.
To do the conversion you use a free package called "libprs500" which you can download (I believe) from this site (someone else can advise - Jon?). That's the tool which converts the LIT file to the Sony's LRF format.
Don't worry if all this sounds time consuming - once you've got the software set up it's all extremely easy to use.
I must, in fairness, point out to you that removal of DRM is technically illegal in the UK, but nobody's going to hassle you about converting the format of a book that you've perfectly legally bought.
Hope that helps.