In order to download the Kindle books from Amazon, you have to have one of their reader software programs installed on a device you own, in order to gain access the actual book file.
You still have to convert the books from the Kindle formats to one that the Sony readers handle (and they don't natively handle the Kindle format) if you want to put it on a Sony ereader, as the OP asked about. That's where the Calibre steps come in; the OP can't just merely use the DRM stripping programs because the resulting .mobi file isn't readable on a Sony.
