Just google free epub books, epub is a format used by Sony readers. It will also read PDF files, so you can use those as well. Basicaly you just copy the files from computer to the reader connected with an USB cable.
If you want to buy the books, you need to get your Adobe Id, download and install Adobe Digital Editions. It will configure both your computer and reader for DRM protected books. Then when you buy a book you use your Adobe Id and get a download link, which you use to download the book, which you then copy to the reader. DRM protection means the book is encrypted and is unreadable if your reader Adobe id and the id with which the book was encrypted do not match. It may sound complicated, but you just need to go through this once or twice and it will become a routine.
If you come across a free book in a format your reader can't use, have a look at a free programme called Calibre, it will convert between most book formats. It can also manage your ebook library. The programme provided by Sony used to be pretty awful, I do not know if that changed since.
What model of a reader do you have? The new one PRS-T1 looks very nice.