1) Yes. Once you've got the book, (and that's a 2-stage process what with the DRM, which is what the Sony software's doing in the background,) Calibre can transfer it to the Reader just like any other book. It can't itself display it or convert it, but copying it to the Reader is fine.
2) Not required, but just for the sake of completeness, you could as long as you disconnect the Reader from the PC between using Calibre & the Sony software - I typically use Calibre, but for eLibrary books, the nature of which mean that I won't be keeping them around, I use the Sony software to both download and copy to the Reader.
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