I expected something similar when I forked over money for ebooks on the Baen website. I broke down and bought the Hemry bundle (JAG in space and Stark's series, both available only used as near as I can tell) when I bought _Storm from the Shadows_ (the latest in the Honorverse, a sequel to the Saganami book). I was really happy with the price on _Storm_ ($6!); I was okay with the Hemry price. I'm particularly okay with the non-DRM'edness of it all.
After placing the order and receiving an e-mailed confirm, I was then completely puzzled how to actually acquire the book. It took doing a little digging around (and there might have been other ways to do this), but basically I had to log into the site with my new account and then click on my order number to get to the download page. Not direct. Not intuitive. Not automatic at all. And not clearly documented at time of sale (but once you've done it, you don't need to be constantly reminded, either, so I can see the UI problem).
I have no mortal clue what the shopping experience is like for the Sony Reader (altho I've heard rumors that suggest it might actually be worse than this, if they require you to download software, on top of everything else). I do know from previous research that book pricing for the Reader is a lot higher than Baen's pricing or kindle (but again, it's often not possible to compare the exact same book across two platforms, never mind three).