Don't worry - it's all pretty easy, and you can always ask here for advice.
Fictionwise also sell a fairly large range of what they call "Multiformat" books, which ARE in Sony Reader format directly. They tend to be "back catalogue" stuff rather than current "best-sellers", but it's worth taking a look at:
http://www.fictionwise.com
There are also a couple of thousand free out-of-copyright books that you can download completely free from this site, of course, which have been "hand-crafted" for the Sony Reader by many people who kindly upload them.
Finally, if you happen to be an SF/Fantasy fan, Baen (
www.baen.com) sell all their books in Sony format without DRM, at very reasonable prices.