This book is DRMed

Hi. I am VERY new to this. (like I started today). I went to my library's Overdrive web site and borrowed a book. I got a .acsm file. I downloaded ADE, authorized my computer and download the book, getting a .epub file. Alas my Kindle won't read that so I download a program called calibre which is suppopsed to convert it to a Kindle format. When I ran it it told me "This book is DRMed" and couldn't convert it. And yet I thought that was what the ADE message said I could do when it said I could now move to the book "to all my devicecs." Am I mistaken?  Thank you.