Welcome!
The Waterstones range is poor and real sod to search! Other UK sites are starting to sell ebooks, such as Penguin's own site, but to be perfectly honest I'd stick with places like Fictionwise.com and BooksonBoard.com - both of whom are happy to sell eboooks to UK customers (it's where I've bought most of mine from).
Without having to do conversions you can read pdf, epub, lrf and rtf.
For converting non-DRMd PDFs to lrf or epub, and for uploading books onto the reader, I'd very strongly recommend
Calibre, which is free.