Is this on Windows or the Mac? On the Mac, you need to find the actual file for the book, usually in your Documents folder under a subfolder called Digital Editions.
On Windows, when you connect the Reader, assuming you have upgraded the firmware and the Sony eBook Library software, it should show up as a book shelf at the bottom of DE. You can just drag and drop the book right into it.
You should also be able to find the book directly and just drag it onto the Reader in Explorer but I'm not sure where the files are stored in Windows.
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