It seems that Adobe Reader and Adobe Digital Editions are the same thing on their site. See below a copy/paste from their FAQ's:
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Adobe Reader/Adobe Digital Editions: You need Adobe Digital Editions. (Note: Adobe Reader 8.0 and newer versions are not able to read Adobe Reader formatted eBooks.) You can download Adobe Digital Editions for FREE. Simply click on this link, Adobe Digital Editions.
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With Microsoft Reader, you would need to remove the DRM from the file then convert it using Calibre to a format that can be read on the Sony.
To answer your question, Adobe would be the preferred format in purchasing from that site. Their prices seem a little high but what you pay is your decision.