Enter ‘Skindle’, a Windows program to convert the .AZW files that the Kindle for PC client saves on your computer, into the popular .MOBI (also an Amazon format), less DRM. You can then re-convert them from there – preferably into the open-source .EPUB format. Alternatively, check out Calibre’s non-official plugin here for an alternative way: (http://apprenticealf.wordpress.com/2010/02/11/hello-world/). Both methods worked for me.
Disclaimer: Use this only for your own personal back-up purposes, for books and content you legally and rightfully own. What you do is your own responsibility.