You need to get your books into the calibre database. To do so:
1. Start calibre
2. Connect your Kindle to USB
3. calibre will add a [Device] button to calibre toolbar
4. Click the dropdown arrow on that button
5. Select [Show Books on Main Memory of the Device]
A list of your Kindle's books will appear
6. Select them all - in calibre
7. Right-click and select [Add books to Library]
It will do so, and now you will have a copy of all your Kindle books in your calibre database, even when Kindle isn't connected.
From there, you can follow the instructions to use the collections plug in.