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Welcome, thecyberphotog.
I believe you need to have a kindle to buy from amazon. You can also install kindle for pc of course. Ebooks bought from amazon can only be read on the kindle or the pc.
If you wanted to read them on any other device you would have to remove the drm. As far as I know there is still no way to remove the drm from the books bought through kindle for pc, so the answer to your question is, to the best of my knowledge, that no, at the moment you can't convert them for your sony.
There are however a lot of ebook stores that sell epub books for your sony, and of course all the great ebook sources that dreams kindly listed above.
Have fun with your new device!
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