Amazon doesn’t go out of there way to make it clear how to use non-Amazon sources (we wouldn’t expect any less really, they have a business model to support and encourage).
It’s really easy with the use of a free and open-source application called Calibre. Calibre can easily convert many, many, document formats into Kindle friendly formats (such as ePUB, LIT, LRF, and more to the MOBI format used by the Kindle).
Think of Calibre as a media manager for your books (much like iTunes is common and popular media manager for music).
You can download Calibre here: Download Calibre