What they said above ^^^ about Adobe Digital Editions.
Alternatively, you could just sync your reader by wifi, and the book will download onto your Kobo that way.
Given that you're new to your ereader, it would be a good idea to work through the User Guide:
http://download.kobobooks.com/magent...erguide_en.pdf
Page 18 onwards deals with syncing/downloading your books from the cloud. Page 43 deals with Adobe Digital Editions. You'll still need ADE if you're going to borrow library ebooks, so it's a good idea to have it even if you're mostly going to manage your Kobo ebooks via wifi/cloud.