For Windows users, there is a download plug-in that Audible supplies in their software center at
this location Get and install the software labeled
Audible DownloadMangager for iPod & iTunes. With this in place all your Audible downloads should install directly into iTunes. I'd check that your first downloaded file plays under iTunes to make sure that your authorization has taken effect before transferring Audible files over to your iPod.
Note that you
SHOULD NOT INSTALL the Audible Manager software for use with your iPod. That software is for Windows support of non-iPod players working indepedently of iTunes, and will support DRM authentication for your device. (Content downloaded that way will not play under iTunes or on your iPod). Just use the Audible iTunes plug-in. And Mac users do not need to download any additional software to play Audible content on iPods.
See this at the iLounge
Books and Spoken Word Forum for pointers on Audible formats and how to use enhanced features like chapter markers under iTunes and on your iPod.