Technically (possibly legally, if there's ever a court case) you are doing something wrong by breaking DRM on a library book.
Morally, as long as you do not pass the un-DRMd book on, keep it for longer than the library-loan duration or sell it for a profit, then you're doing nothing wrong.
I'm envious of people who actually have this choice when it comes to e-lending. In the UK, I'm surprised that they don't make me check out stone tablets from the library...
