iTunes won't load Audible.com book

I bought an audiobook from Audible.com. To put it on my iPhone I have to load it into iTunes. The book's file (with extension .aa) is on my desktop. I try dragging it into iTunes, double-clicking the file's icon, using cmd-O to open it (Add to Library). The icon flashes appropriately, but the book never shows up in my Audiobooks tab (or anywhere else).

I know I've seen this before. Eventually it must have worked (I have books there) but I can't figure out how or what I'm missing.