The Kindle Reader is the only ebook reader that lets you read DRM-protected books on a windows phone. But the Kindle reader will not work for mobipocket books that are in your private collection. The Kindle reader for windows phone 7 can only download books that are on your Amazon.com bookshelf. There's no way to move your mobipocket books to the Amazon.com bookshelf, so you can't get the books to a place on your phone that the Kindle application recognizes.
There are other ebook reader applications in the Marketplace that let you store books on a personal Dropbox page and then the books can be downloaded to the windows phone (so you'd upload the books to your Dropbox page from your computer). You might want to check out the Freda application, which can be used to read DRM-free ePub, HTML and TXT formatted books.