I also use Calibre and highly recommend it. I have also done a direct drag and drop into the "folder" on the reader itself. When you plug in the usb cord it creates another hard drive.
For me it shows up as: F:\database\media\books - as the place to put the books.
Calibre creates folders for each of the books, I do not think the Sony Reader Library does as I have some .epub from the store in the root folder.
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