Audible books on iTunes
I'm not sure why it assumes that files will automatically get imported into iTunes. When I tested just now, the file downloads, but I certainly have to take action beyond that to get it into iTunes.

To import the files into iTunes, go to File > Add to Library (Command-O), then browse to the folder where you downloaded the Audible file. Select the file(s) and click Open. They will be imported into iTunes and at that point you will find them in the Audiobooks section.