@Mirirob: KFX is the newest Kindle format (if while reading a book you notice that it has word hyphenation that book is in KFX format ; that is one of the features of the new format) , and Amazon is slowly converting all of the Kindle Store book to that format.
If you are using Calibre to manage your book library you'll soon notice that it doesn't have really good support for book in that format.
If you would prefer to have those book in azw3 format you will have to manually download them from Amazon website to you PC and transfer them (and/or achieve) to your Kindle using USB cable.
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