Welcome celticgran! Enjoy your new reader!
You will only
really need the library software if you are in the USA and want to buy books from the sony store. You can get the software from this page
http://esupport.sony.com/US/perl/sel....com/index.php.
You can copy your pdf files onto your reader using explorer. Just copy them into the folder /database/media/books on your reader.
You might also want to have a look at calibre, a powerful free software which can help you organize your library of ebooks in probably a better way than the sony software can.
Good luck and happy reading.