I don't think you need a special program to write an ebook. At its simplest, you can create it in Word or whatever word processing program you use and convert it to a PDF. You could put the cover right into the PDF.
As for converting it to a "sellable" format, generally the sites that allow you to sell your ebook there as a vanity publishing project, such as Amazon and Barnes and Noble, take your file (Word, PDF, whatever) with artwork and convert it to the particular ebook format that site uses (i.e., Nook, Kindle, whatever). I'm thinking of doing a self-publishing gig for my own novel and that's what I plan to do for it.