Hi Lene - I think you are restricted to downlading books wirelessly at least for the Kindle app.
For the Stanza app you can use the site I mentioned or I also found this info:
Can I download a book directly from a web site?
Provided the book is in the ePub format (which will typically end with an ".epub" string), you can download a book at a URL by selecting the tools icon from the library view and tapping "Download Book at URL", and then entering the complete URL into the field. Alternately, if a web site has the link to an .epub file in the form of "epub://www.somesite.com/book.epub", then Safari on the iPhone will automatically launch Stanza and download the book.
So basically you need an Internet connection it seems.
Hope someone else knows more than I do!
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