Here are a the steps for those who want to quick start with their Kindle:
So, when you receive your Kindle, the first thing to do is to have it registered with Amazon.
You either connect to Wifi, have it registered automatically or access the 'Manage Your Kindle' page on Amazon, where you will be asked to enter the serial number of the device (the S/N is viewable in the Settings on your Kindle). I used the second option here.
You can now purchase your book directly from Amazon or load it with your personal PDF files.
Since the Kindle 3 now has a native PDF support, you just have to connect it via USB to a PC and copy the files in the 'Documents' folder.
I recommend reading your pdf files in landscape view. This will minimize zooming and scrolling over to read one page.
When you register your Kindle, you are offered two mail addresses: You use the @kindle.com one to send documents to your Amazon account, and you can have them delivered via wireless to your device.
When sending documents to the @free.kindle.com address, Amazon will freely convert them into Kindle version and send them back to your registered mail address within minutes, if not seconds.
Lastly purchasing books on Amazon is pretty much straightforward. You just have to look for the Kindle version and finalize your order by of course paying for it.
Again in the 'Manage Your Kindle' page you will have a list of all books ordered. You can download your ebooks on your computer first or send it via Wifi to your Kindle.
Now that you know the basics you're ready to go. Happy reading!