I suggest buying from the many US ebook stores that provide Adobe ePub (and PDF, but ePub is better) ebooks. This includes Books on Board and (recently) FictionWise. These work "as is" on your Sony, providing it is registered to your AdobeID.
If you buy from B&N then your best bet is to get an ePub, because its DRM is easier for a novice to remove than eReader. Currently, it seems you need to download the B&N ebook from within Windows B&N Reader to get the ePub version (you might still get the eReader version, but it is worth trying). The ebook will be in My Documents\My BN eBooks\EMAIL. Then see
Barnes & Noble DRM for EPUB circumvented.