As Keroberos said, Calibre does not care about filenames. It makes its own copy of each ebook, and names them based on the metadata that is inside the ePub. Once the ebooks are in Calibre, you can edit their metadata, including the cover.
If you want a new copy with sensible filenames on your PC use "Save to Disk", but I just use Calibre as my PC repository for ebooks.
There is lots of help at the Calibre web site, plus its forum here. For a quick introduction, see Dear Jane's
Setting Up a New Library with Calibre: Essential Plugins and Getting to Know Metadata.