You will need Adobe Digitial Editions installed in order to download DRMed (i.e. copy protected) epub books. If the books are DRm free such as the ones sold by Baen and Smashwords, then you don't need the Adobe software.
I use fictionwise occasionally and I haven't had any problems.
I don't use a Sony reader or software, but have read that the Sony software can clash with Calibre so it may not be a bad idea to remove it. You may want to make sure your ebooks are backed up just in case of a problem.
As to removing DRM, there's a thread here on MR about removing the Adobe DRM from epub books. There's also one about removing the DRM from mobi/prc books, which Calibre can then convert to epub.
Hope this helps.
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