You won't get the download and transfer option if you don't have an actual Kindle device.
The Kindle for PC app is quite safe. When a Kindle book is downloaded to the K4PC app, the book files reside on the hard drive of the computer. You find the file for each book that is the Kindle Content bit...you can drag that file right into Calibre. A decent grasp of the file management system of the PC is necessary.
If you're wanting to liberate the file from the DRM, you'll need to look to other sources for the exact steps. It can't be posted here on Mobile Read. Google Apprentice Alf.
It's best to post in the Calibre forums for help with Calibre.
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