i have down loaded a audio book onto my iphone 4 but cannot find it to listen to if. Where should i look

It should be in the Music app - when there are audiobooks on your iPhone you should get an Audiobooks option under the More button at the bottom of the Music app.

Note that audiobooks are currently a one-time only download from the store, so you may want to copy it to your computer's iTunes via File > Transfer Purchases (File > Devices > Transfer Purchases on iTunes 11) so that you can take a backup of it.