For most OverDrive titles, getting the book you want onto your Kindle is easier than getting it onto your Nook or Sony Reader. I have instructions for that on the Cheat Sheets page. But if the eBook you want was published by Penguin, you have to sideload it to your Kindle just as you would an EPUB eBook that you wanted to get onto your Nook. The OverDrive site labels these books, so if you pay attention to the screen, you won't be surprised. (If you'd like to write an angry letter to Penguin, I won't stand in your way.)
A key point to remember here is that you can sideload only to a physical Kindle. You may have the Kindle App on the PC you are using to get books from OverDrive. But that won't help you. Unless at least one physical Kindle is registered to you as a user, you will not be able to download. Now, if you do have a physical Kindle, you can "lie" to the Amazon web site, say you are downloading it for that Kindle, then sneak it onto the Kindle App on your PC. There may also be ways to get it onto your iPad or Android device. But I have not figured those out yet.