Unfortunately, as you have found out the UK market and support for the Sony Reader is still immature and uneconomical
The solution is in here but requires :-
a) A small amount of computer literacy and/or determination to read through the forums here, ask for help and string information together
b) A 'relaxed' approach to using computer tools to 'strip' Digital Protection from titles you purchase, so they can be converted to Sony Reader format, which may or may not be technically illegal in the UK
My approach is as follows :-
1. I buy all books from
www.fictionwise.com
2. I buy primarily MobiPocket or Microsoft Reader format
3. I use some 'tools' discussed in other topics to remove the DRM
4. I use Calibre to import, convert and load them to my Sony Reader
I found this all pretty straightforward, as I have a computing background, but I'm sure even some beginners have found the procedures straightforward with a little bit of effort. All the information you need is in the forums, and don't be scared to ask for help.