To begin with, .azw files are not Kindle book files. Let's get this straight. .azw files are files which link to DRM controlled copies of Kindle books. Amazon wants you to download Kindle books directly to your Kindle device and manage them, not from your computer, but from the Amazon cloud. They do not want you able to read the same book on both your Kindle reader and, say, Kindle for Windows, or your Kindle app on an Android device without applying for the book from each device in turn. Kindle book files have a .mobi extension for the non-DRM versions.
I have no idea where you got the directions to download your books to your computer first, but that is NOT the directions I got from my Kindle app or Kindle for Windows.
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