SillyBear--
You'll need to use the Sony Connect program for any books you buy from Sony. Calibre is a good program for converting files from other formats to formats the Sony reads.
Personally, I use the Sony Connect program for loading books on to my Reader only because it performs the work of "pre-paginating" the books. If you don't use the Sony Program, your reader has to figure out how many pages are in each book at each font size. Not a big deal, just takes the books longer to load the first time you open them or change the font size.
I suggest downloading Calibre and playing with it. Just see which one works better for you and ask questions if you don't understand how something works.
Have fun with your reader!
dordale