You need an account on Amazon.com to download the kindle books. They can be in MOBI, AZW3 or other proprietary formats. If the book has a price you have to pay to download it. Some kindle eBooks are also protected by DRM and are not easily converted.
Assuming you have properly downloaded the kindle file (No DRM), you can use the Calibre Portable Program.
https://calibre-ebook.com/download_portable
This is a very popular program which can convert the kindle formats, mobi, azw3 etc. to EPUB format very easily. The Portable version of Calibre works without installing on the computer. You may install to any folder and copy this folder to a USB HDD/flash and use it.