Well folks, it turns out that I'm just dumb and stupid!
I realized that I HAD NOT UNZIPPED the XDXF files downloaded from the dictionaries page (for some reason, these files did not show as zip/rar or any other compressed format). That is why I tried to convert them directly.
Well, as ashamed as I am, I will leave the post as is, so maybe others will learn from my mistakes.
(Thanks teofrast, I went back and tried again after your comment, then realized my mistake)
Regarding the other 2 questions, I figured that the other books subdirectory (is in system\state\Books) is the list of the ones I have opened.
The last question I haven't figured out yet. Comments are welcomed!!