Once you have your Kindle hooked up to your computer (mac or pc), you will have access to it as though it is an external hard drive. Click the icon (mac) on the desktop or choose open folder to view files using Windows Explorer (pc) to see what is inside your Kindle.
The documents folder is where all your books are, and where any book files you download (not from Amazon) must be put in order to read them on your Kindle. Click on this folder to open it and view the files and folders within.
If you are comfortable dragging and dropping files, this is where you need to drag your ebook files. You can also right click (ctrl+click if you have a mac) the files and choose copy from their original location, then right click in any white area inside the documents folder on your Kindle and choose paste. Copy and Paste can be a handy tool if you are drag and drop challenged. Personally, I just like copying and pasting!