I downloaded a book, but when I tried to move it to my sony ereader, it says "protected by digital rights management" and nothing transfered.
Have you installed Overdrive and Adobe Digital Editions to your computer? Without them installed, you will get those 'digital rights' messages, because they are the programs that track who is allowed to use the library book, and for how long.
If you have installed both of those, be sure you use Digital Editions itself to transfer the book. Clicking and dragging between windows on your PC won't work.
I hope this answers your question - let me know if you still have problems!