In order to use library and Kobo books on the nook, you need to have
Adobe Digital Editions installed to manage the copy-protected files. Be sure to sign up for an Adobe ID when the software asks; that way you can transfer your books to another computer if you need to.
For your free Kobo book, see if there's a "Download ePub" button on the book's listing in on your library page. Some of them don't have it, or have it removed later, so when you get a book from Kobo, be sure to download the ePub version right away, as well as adding it to your Kobo Library so you can access it again later when it's not free anymore.
Click on that, and then open the .acsm file that gets downloaded in ADE. This will download an ePub copy which you should be able transfer to your Nook using the ADE software. Library books work the same way.
At Baen's Webscriptions, pick ePub for the file format you download, and then transfer it to your Nook using USB or Calibre, depending on how you like to manage your files. It will go into "My Documents", not "My Library", which seems to be reserved for B&N purchases.
Don't change your B&N address when you move back to Canada unless you're buying something physical from them. A lot of their ebooks won't "ship" outside the US.
Hope this helps.