Books from Amazon are usually protected by DRM. You would need to remove the DRM to convert it to other format. I can't provide any guidance on that, but if you search the net you will find information.
As far as where the physical files are stored, they are most likely in your user's AppData (local storage, %appdata%). Take a look in that folder for a folder named Kindle. They probably named the actual book file with a hash, but you should be able to see the extension to recognize it is your books if you have extensions enabled in explorer.
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