how do I download an audible book from the library? How do I get that audiobook into my itunes library so it will be loaded on my iPod?
If the file did not automatically show up in your iTunes please try manually importing it.
From the iTunes support website:
If you want to add files to your iTunes library, you can drag files from the Finder to the appropriate icon on the left side of the iTunes window, or choose File > Add to Library (on Windows, choose Add File to Library or Add Folder to Library) and then select the song file or folder you want to add. iTunes adds entries in your iTunes library for the selected files, and copies the files to your iTunes Music folder (if you have that option selected in the Advanced pane of iTunes preferences).