If you take a look through the E-book forum you will find lots of information plus lots of opiones on the best readers to use. Its best to start out with MS Reader (at least I think so). Its free and easy to set up. Depending on what AX you bought it might be on the PPC or not. If not you can find it here:
http://www.microsoft.com/reader/downloads/ppc.asp
Once installed there are lots of sites that have free or for pay books. Again browse the forum for links. My favortie is
www.baen.com
a SF /F publisher that offers many books for free and not just old public domain ones.
Many on this site have strong opions about their reader of choice so you will have to draw your own conclusions. If you get stuck just yell and you will get lots of free advise.
Welcome to the site and to the world of E-books.