Welcome galadriel.
In this forum, 'library' means the collection of eBooks added to calibre, and 'catalog' means an eBook that's been created from your library, formatted for your eReader - Kindle, in your case.
First step is to get your eBooks into Calibre. Once you've done that, read the '
Creating Catalogs' post in the sticky section up top.
If you need further assistance, just ask.
G