The kindlefix approach (Igor's scripts) was only for OverDrive MOBI ebooks, and anyway does not, so far as I know, work with the Kindle 3.
Most OverDrive lending library ebooks are now Adobe ePubs. To read an ePub on a Kindle, you need to a) strip the Adobe DRM, and b) convert from ePub to MOBI. If you add the right 3rd party plugin from the tools_v3.1 bundle to Calibre, it will do both (a) and (b) for you. As usual, see Apprentice Alf's Blog for DRM info (start with the oldest post).
As FF2 says, the first step is to install Adobe Digital Editions on your PC and get your library ebooks to display there. Then point Calibre at the .epub in My Documents\My Digital Editions.