In the Reader/Documents you should find a prs600-UG.zip. It's a compressed archive containing 4 pdf files (the user's guide in 4 languages). You open a zip file using any software like winzip, 7zip or similar. Windows explorer can also open zip archives.
You can drag and drop your books onto the Reader/Database/Media/Books folder. You can also use the sony library software (it should have installed itself as soon as you plugged in your reader) or calibre. I definitely recommend calibre, but any of these ways is fine.
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