Per the instructions in the kindlegen README file:
KindleGen for Windows (XP, Vista, 7):
1. Download the KindleGen zip file from
www.amazon.com/kindleformat/kindlegen to the desktop.
2. Right-click the zip file, select Extract All, and enter the folder name as c:\KindleGen.
3. Open a command prompt by selecting Start menu > All Programs > Accessories > Command Prompt.
4. Type c:\KindleGen\kindlegen. Instructions on how to run KindleGen are displayed.
5. Conversion Example: To convert a file called book.html, go to the directory where the book is located, such as cd desktop, and type c:\KindleGen\kindlegen book.html. If the conversion was successful, a new file called book.mobi displays on the desktop.
6. Please note: it is recommended to follow these steps to run KindleGen. Double-clicking the KindleGen icon does not launch this program. Run the above commands without quotes. If you drag and drop a file on the kindlegen executable it will convert the file for you, but you will not be able to capture the output logging, so this is also not recommended.