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cookerrr, your profile lists a "paperwhite", which could be any one of three. Please update it to be more specific

see which one you have here:
Kindle Serial Numbers
Knowing which model you have (as opposed to merely its advertising name) is crucial for us to supply help.
Also as GoSharks says, please tell us your firmware version.
I am going to go one step further and hazard a guess... you have a PW2 or PW3, the firmware is the latest firmware which supports the Enhanced Typesetting update, and if you look in your File Browser the books are in *.kfx files.
KFX is a new format which calibre does not understand yet, in order to download the AZW3 version go to
http://amzn.com/manageyourkindle or download through
Kindle for PC