Give us some more information:
-Can you open the B&N eReader program?
-What have you tried? (File>Open, Right click-Open With,etc)
-What OS are you using?
These books need to go onto you Nook via USB/computer. It's just like working with other computer files. Once you plug your Nook in, it will show up as a drive. Double click on it and it will show you the contents. You can drag & drop your PDB to the drive, eject the drive. Then you will find the PDB in the My Documents section.
You can check out page 132 of the User Guide or search this forum for sideloading for more detail.
The last .pdb file I loaded on my Nook came from Fictionwise.
When I went to open it, the DRM required me to unlock the book by entering my first name, last name, and CC number. It didn't work the first 5 times I tried even though the information I was entering was accurate.
The problem turned out to be - I wasn't including my middle initial in the "first name" area. Silly me. Once the book opened, it opened to the middle of the book rather than page 1. So it's weird, buggy, and just another reason to hate DRM.
Oh, and it was a "free" book. So that explains the DRM.