Indeed this can be done, but Amazon's DRM is designed to prevent exactly this kind of conversion, so you have to use DRM stripping software that can not be directly supported here on this forum for legal reasons.
Unless the book is something that you absolutely can't get any other way, I would check out the Sony Store, Kobo Books, Google Books, or in a pinch even Borders, all of whom can sell you books already in proper EPUB format.
You may have heard that Borders is going bankrupt, but once the book is on your computer, you will never need them in the future even for DRM issues, like re-authorizing a new PC or reader, which is handled by Adobe, not the bookseller. (This is one of the advantages of Adobe's ADEPT DRM)
Last edited by delphin; 02-18-2011 at 07:39 AM.