Here's what I did from memory stick to Kindle, sure its same principle.
Load disc up and open it.
Save the book titles you want from the opened disc onto your desktop (simply, highlight, grab, and drop onto your desktop- I created a folder and dumped them all into that)
Plud your kindle in (as if you're going to charge it)
Then open your kindle, and then repeat the process to load them onto it, ie, grab from desktop and drop into your opened kindle folder.
1) Put the CD into the optical drive.
2) Select the e-book(s) and hit Ctrl-C to copy them.
3) Plug the Kindle in.
4) Open the Kindle folder.
5) Click Ctrl-V to paste the e-book(s) into it.