Is the audio book in question downloaded from Audible.com? If so, they are DRM-crippled (Digital Rights Management). You must download and install their software and use it to “authorize” and transfer the book to your player.
If the book is “borrowed” from the library, the same thing applies. Most libraries use Overdrive as their software for file transferring. If you don’t use the proprietary software (and MTP mode on the player) the digital “keys” won’t be transferred so you won’t be able to use the files.
