When you "rip" an audiobook CD using iTunes, the resulting media may not be seen as an audiobook. It may be categorized by iTunes as music. In iTunes (on the computer) does the audiobook appear under Music or Books in the iTunes library?
If it appears under Music, you can try changing the category to Books. Select the item in the iTunes music library list, where it currently appears. Right-click on it and select Get Info. In the Info window, go to the Options tab. Change Media Kind to Audiobook. The item should now appear under Books in your iTunes library.
If it is an "audiobook" in iTunes, the 4th gen shuffle should list it separately as one of the "playlists" when you use the VoiceOver button (press and hold to read off playlists).