Yes, you can import the books directly from there.
You want the *.azw -- the other files are page numbers (apnx) annotations/bookmarks/highlights (mbp) and popular highlights (phl), and calibre cannot make use of any of them.
Always make sure you install the win32 (Windows 7-compatible) desktop application, not the Metro app (this is relevant if you ever change computers).
You will probably want to take a look at
http://apprenticealf.wordpress.com if you are buying books with DRM.