Amazon doesn't allowed direct downloading, but using Kindle for PC, and sending the books to that app, makes it fairly easy to then retrieve the files from Windows File Management.
However, DRM means those files are only able to be opened in that specific Kindle for PC app.
Stripping the DRM is another topic, not discussed openly on these forums. But the use of Calibre is widely talked about, and something for you to look into.
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