Here's how it works for me, using Internet Explorer on my Windows 7 PC:
Once the library books are on my library bookshelf, I select epub format to download.
I then get a popup at the bottom of the screen asking if I want to Open or Save - I click Open.
At that point, if I did not already have the Sony software open, it opens automatically in a separate window, and the book starts downloading. I can switch to the Sony window to view the download progress.
If I want, I am then able to go ahead and download a second book while the first is downloading.
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