"Chapters"? Is this an audiobook? If so, you should set the Media Type in iTunes to Audiobook. You can do this by selecting the item in the iTunes window and doing a Get Info on it (Cmd-I or Get Info from the File menu). On the Options tab of the Info window you can set media type.
This should make the item show up as an audiobook on the shuffle, which I believe is on the list of playlists using the VoiceOver button (press hold). It should also appear in iTunes library under Books.
NOTE: If this file was downloaded as a regular audio file (and added manually to your iTunes library), not as an audiobook downloadeded through iTunes, it may not have markers for chapters.