You can open them in Digital Editions (ADE) using ctrl-O or dragdrop them from file manager (eg explorer) onto ADE.
If they are not DRM, no need to use ADE at all, just copy them using file manager.
If you can get .epub ebooks you will find they are much more flexible to read on an eReader the .pdf ones.
eg change font size and automatic reflow.
May be less good for design-heavy items such as comics.