1. On your PC/Mac (won't work on the eDGe) go to http://ebookstore.sony.com and click the "Download Software" link (top of page)
2. When you register with Sony, specify the same email address as you gave as your Adobe ID on the eDGe (usually the same as your primary email with enTourage customer account)
3. After installing the software, launch it. Find and purchase a book
4. Find the EPUB/PDF in a folder called "My Books" under "My Documents"
5. Transfer this to your eDGe via SD card, USB memory stick, email, or mini-USB cable
6. On your eDGe, find then tap and hold on the file and "Add to Library", after which you can remove the file on the SD card/USB stick, etc.
This will copy the book to the eDGe's internal storage and allow you to do annotations on it. Note that the Adobe ID email address you specified on the Registration screen on the eDGe must match the email address you use to register with any site selling Adobe Digital Editions (a.k.a. Adobe Reader) books.
I recommend you try this with a test book, something costing only a couple of dollars. Once you see that it works, you can purchase more expensive books with confidence.