The problem is that a lot of these formats have some kind of digital rights management built in, which Opie Reader and Just Reader will not support. I suspect this is why you can't read your purchased book
I would recommend sticking with MS format, because the nice convert lit people have hooked into MS Reader so that you can convert .lit files that have DRM built in, so long as your copy of MS Reader has been "activated."
Once you have converted your .lit file to open ebook standard, you can do what dh suggested, or you can use JPluck to convert to .pdb, which both Opie Reader and Just Reader can now deal with, since the copy protection has now been removed.
There is a rumour on the convert lit FAQ that Opera supports the open ebook standard directly, although I haven't tested this on the Z and can't say it that version of Opera includes that support.
Mike.