Silli, I have both a Sony e-Reader and a Kindle. Kindle waaaaay outshines the e-Reader.
FIrstly, the Sony Book Store is not available in SA and was only fairly recently available in the UK. To get an e-book for your Sony device, you had to go to WH Smith's website for example, and buy an on-line book, wait ages for it to get to your file, then upload it to the e-Reader. And the selection was abysmal. Then Kalahari.net got their e-book sit up and going which is compatible with the Sony BUT, you must first download the software, "E-Publisher". Once you've got E-Publisher, then you download e-books from Kalahari to your desk or laptop, plug in the e-Reader and upload the book. The e-Reader can only be recharged via usb so you must always have a computer nearby.
The Kindle is way superior. I connect instantly to the Amazon book-shop via 'wireless' network (it picks up any wireless network in the area), connects in seconds, go to the search bar, type in the title or author of the book you want, click on 'buy now' and in seconds the entire book is on your Kindle. You must obviously have an Amazon account to do all this. Also, the Kindle comes with an adaptor that allows you to charge the batteries via a normal wall plug. Just remember to disconnect from the web once you've got your book or your battery will be dead in a couple of hours. I've got about 9 books on my Sony and over 2 dozen on my Kindle! Go with the Kindle. Absolutely brilliant if you're an avid reader!!!
I've had the e-Reader since early this year, Farside's had his Kindle for a number of months already (and I was soooo jealous) so Farside bought me a Kindle a couple of months ago. Also, the Kindle has excellent accessories such as leather covers with a built-in LED reading light. Kindle has tons more applications than the e-Reader and is way more simple to use.
Harty - have you set up your Amazon account, registered your Kindle, loaded your money and then tried to connect via wireless. If you haven't set up your account, you won't connect.