1. Go to the Amazon site, and log in with your account credentials.
2. Follow the links to the "Manage Your Kindle" area.
3. You should see a list of the books you've purchased. At the right-hand end of each item, click the Actions button, then select "Deliver to my ...".
3. In the pop-up window, select the device that you wish to use to read the book (such as a physical Kindle); or, select the option to download to the PC for transfer via USB.
4. If you choose the USB option, refer to the instructions in the Kindle manual for copying the book from your computer to the device. You would normally only need to do this if the device cannot connect to Amazon for any reason.
If you want to convert the book to a different format (you mentioned ePub), you will have to remove the DRM (if any). I understand that it's against forum policy to give advice on this point, but no doubt a bit of research will get you the answer.