Your Kindle 3 can only download those Audible.com books if you have WiFi turned on. It will not work with 3G, mainly because that is on Amazon's nickel, and they would really rather you did stuff like that on your nice, fast and no cost to them connection.
When you hook your Kindle up to your computer and explore the contents, you will see an audible folder. This is where your audio book files will go if they are sent to your Kindle. This folder is also where you need to place any .mp3 file you want to have more control over. Any mp3 files in this folder will appear on your Home screen on your Kindle just like any other book. They will have the word Audio to the left of the title so you will know which of your "books" are actually audio books, or music files.
If you have an older Kindle, or a Kindle DX without wifi capabilities, you can still download your audio book files and play them on your Kindle. Just be sure to place those files into the audible folder.
There's nothing like getting double duty out of your Kindle. Actually the speakers on it are quite good for audio books, and if you plug in a set of earbuds, you can listen in private.
