Well, my Kindle hasn't even arrived yet, but what I've done is create a separate directory for my ebooks, and then just click on the download links and "save" .... I don't try to open them because I don't have the software on my PC to read them.
Anyway, once my Kindle arrives (Monday ... lovely Monday), I will connect it to my PC using the USB cable that comes with it (or one of the ones I have hanging around the house). The PC should recognize the Kindle as a new drive under "My Computer". Then, all I should theoretically have to do is select those books that I want to put on my Kindle, and then copy (control + C) and paste (control +V) into the Kindle drive ... either in the main memory or onto the SD card (if you have one of those). Drag and drop also works dandy.
What you are probably doing is trying to open or run the file on your computer, and you can't do that ...
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