You can drag and drop books directly to the reader through Windows Explorer (except for books purchased from the Sony store). You won't be able to organize your books into collections this way, though.
Also, check out Calibre, a great program written by Kovid Goyal available here:
http://calibre.kovidgoyal.net
Calibre does support collections and much more--a great program!
One thing that the Sony software does that neither "drag 'n drop" or Calibre won't do is "prepaginate" books before they're added to the reader. So, on longer books it'll take the reader a while to open the file the first time you open it. Also, changing font sizes for the first time in a book will take longer.
dordale
