Yes, now we are getting somwhere! I think that you picked a book that is not downloadable to EPUB format for the Sony ereader. I looked up Don Quixote in free ebooks, and it is missing the Adobe DRM EPUB button. Go to this link here. Notice how # 4, A Man of Few Words, looks different than the other books with a Download Option description and an Adobe DRM EPUB button.
http://www.kobobooks.com/lists/freee...OhDofOQ-1.html
No worries. If Don Quixote is the book that you really want to read, then you have many options for free public domain classics. First many public domain books are available here on MobileRead. Also you can try a website like feedbooks.com, manybooks.net or gutenberg.org.
EDIT: Just wanted to add, it looks like most public domain classics on Kobo are not downloadable for Sony. Some free ebooks will be publisher promos, and those are available for EPUB download.