The files downloaded from the Kindle Store on my computer are under My Documents -> My Kindle Content. (I downloaded samples) However the actual names of the books aren't listed, just letters and numbers, so other than opening them one by one you can't which is which. This could be because they are all samples.
I have no idea how to strip the DRM from kindle books.
However:
If you can buy the books in secure .lit format (MS Reader) from sites like fictionwise.com, booksonboard.com, and ebooks.com, and if you're currently using Windows there's an easy way to convert them to epub.
This IS legal.
http://www.convertlit.com/legal.php MS Reader doesn't allow text to speech so the exception applies. However, it would illegal to distribute them, so this tool can only be legally used for personal use.
1) You need to first download the Microsoft Reader and register your computer.
2) Use ConvertLit GUI to downconvert the DRM lit books. During the conversion process you'll need to open the e-book in the reader to get the key.txt file which needs to be moved to the same file as the ConvertGUI, Program Files-> ConvertGUI in order for the book to be converted.
3) Use Calibre (or some other conversion program) to convert the .lit to epub.