Hello and welcome to MobileRead!
You need to download the books to your computer. Go to the Kobo website. Click on My Account -> My Books. Then click on the 3 dots by a book and select Download.
If the book has no DRM, it will download as epub and you can add it to your Calibre library right away. If the book has DRM, it will download as ACSM. You need to open the .acsm file with Adobe Digital Editions first. This gets you an epub file in the Digital Editions folder, which you can add to Calibre. It still has DRM, though. To remove the DRM, you need the Apprentice Alf plugin.
https://apprenticealf.wordpress.com/