Ok, me being me with a new toy I could not wait for all the helpful people out there and I contacted Sony.
First up - they were really helpful and nice to talk on live chat with.
I am not sure that the problem was resolved, but I now have the files on the reader - we just copied them into the reader folder on Explorer.
As the file transfer and the synchronisation took ages when I tried before, I had a chat with the tech about it.
We were able to establish that the files I downloaded from the Sony shop were all transferred, just not the books I got from other sources (MB and Guthenberg). Of course I got the 'we are not responsible for other sources' and 'the files might be protected due to copyright'.
At least I now have a way around the problem. Will try and synch the reader again tonight but am afraid it will take a while. But we'll see.
If anyone of you has come across a similar problem and has a cleaner solution, please let me know.
Cheers - of to the wide world of eBooks again. So many to get and so little time