You can drag and drop files on your reader, use the sony software, or use calibre (a free and very powerful software, give it a try!).
The filetypes supported are not really limited. Epub is looking like it's going to be the standard format, at least it's supported by most devices and ebook stores. With epub, lrf and pdf support, there's not much you can't read, and the little you can't, you can easily convert (with calibre again)
By the way you can find beautifully formatted public domain books right here on this forum (check the ebook uploads section)
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