Welcome to the joys of ereading. .lit is the MicroSoft reader format. I don't believe your Sony will read it. Check the WIKI pages here for "Convertlit" and "Calibre". I'm not expert on either but others here are. Look on the WIKI for conversion software.
Several places sell .LRF ebooks. Check out Baen, BooksOnBoard, & Fictionwise.
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