Pretty much what Lex said.
Step by step:
Put Calibre on your computer.
Download the books you want and add them to Calibre [there is an add books button on the top]
Once added use the convert books button.
Calibre will convert to the chosen format.
Upload the books from your computer to your Nook to read.
IF you are buying something with a DRM like a file from Amazon, get the plug ins from the forum topic here about DRM Removal. Add them to Calibre then add the book. Then simply convert.
For example, I buy Amazon and add them to Kindle for PC. Since my Ereader is not a Kindle, I convert them by that method to a format I can use on my ereader. I have to strip the DRM to read them on my reader.