To download any book you own/buy from the Kobo website you just do what David said, there is no setting.
Go to My Account --> click on My Books --> find the book you want to download --> click the three dots and select download.
After clicking download you'll either get an ePub file for non-DRM'd books or an ACSM file for DRM'd books. The ACSM would need to be opened with Adobe Digital Editions (or the Sony desktop software should still work as an ADE replacement) and it will use the ACSM to interface with the DRM servers which will send a DRM'd ePub copy (Kobo may still have a few PDF's, but pretty much everything they sell has an ePub).
Once you have the book you can remove the DRM, sideload it to the Sony, or whatever... Or maybe I'm misunderstanding the question.