There are two schemes for protection of a PDF. The "password" based system is not really DRM, it allows you to make all the copies you want. It's more an anti-nosey-kid device. I consider it like the PIN display lock on the Reader itself.
The Adobe DRM scheme encrypts the PDF in a way that is specific to a certain transaction. That transaction can be validated on up to 6-8 devices, PCs and Readers that support Adobe DRM. The Sony Reader is not such a Reader. You can authorize your PC to access the encrypted PDF, but the CONNECT Reader software isn't approved to share in the access. Frankly, that seems to be a Sony marketing decision, to keep you from buying cheaper ebooks from other online sources.
