First you need to choose a reader, either paid or free version, that works on the OS of your PDA. I have a Sony PDA, and although Adobe Reader and eReader work on it, my favorite reader software is MobiPocket. You download the reader software to your computer, install it, then run the install to your PDA.
Then when you buy ebooks, make sure you buy the format that matches your reader software. Mobipocket works with the Palm format, Adobe, MobiPocket, and TXT or HTML.
(sidebar: check out Project Gutenburg. Thousands of old but free books to download.)
Some formats, like Palm, you double-click to "install" your ebook on your computer, and it sets up the file up for auto-download to your PDA. Other, like MobiPocket, you run the computer software, then select your book file to download.
Hope you figure it out (or have figured it out already).