I am planning to buy an eBook reader

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I have not had an eBook reader yet. As far as I understand Kindle, Nook Book, etc., are the kind of tablets by which you can only download from certain libraries or book stores. That's good, but what about the ones stored in pdf format on someone's desktop. I've found some offers for that, too, sort of "independent" eBook readers, where you can download your pdf files from your PC. But I do not know if I can use such a device to receive or download books purchased from Amazon for instance? Could you please advise? Thank you.