Yeah, pretty odd to ask these Qs after your purchase... but I'll be nice and answer since I did the same thing when I first bought it.
Free books:
http://www.barnesandnoble.com/u/Free-eBooks/379001668/
You make an account on the B&N site, and then when you get your Nook you put your account info in the Nook to link them up. Then as you buy books either via your PC or Nook they will download to the Nook wirelessly via wifi or 3G (if you have it).
Once you buy an ebook it stays on your account for free download forever, and B&N changes their free ebooks often. So you can add every free ebook they offer to your account and just read what you want when you want. There's never a reason to pass up a free ebook even if you're not entirely sure you'll use it. You might end up finding you DO want to read it and it's no longer free.
Epub is a format of ebook that pretty common throughout the ebook world except the Kindle. Most ebooks you can find online or from libraries and such are in epub format so you won't have to convert it to use it. If you only get your ebooks from the B&N site this will never be a big deal to you.