Were you looking at a PDF? The Sony Reader is horrible at PDFs; that's the greatest weakness. The only ebook device for PDFs is the Iriver Iliad. Unfortunately, it costs $700+.
If it wasn't a PDF, then before you give up on the Sony Reader, have a look at the conversion tools one of our members created. They take a variety of file types, and output a LRF file for the Reader. The converters are all very solidly functional.
There is also a way to convert PDFs for the Sony Reader. I haven't used it yet so I can't give any details.
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