For any Secure format other than MOBI you will need to strip the DRM. The traditional choice is LIT, because both it and MOBI are based on the OEB format. There are several options for conversion, for example (a) ConvertLIT to remove DRM, then lit2mobi (Mobiperl), or (b) ConvertLIT to explode into a OEB, then MobiPocket Creator (or Reader) on the resulting .opf file.
The only issue with LIT is the MS Windows requirement. If you can't get this to work, then ereader2html on a Secure eReader file is the other option. Then use html2mobi (Mobiperl) or MobiPocket Creator (or Reader) on the resulting .html file.