As I mentioned in a different thread, I have placed audiobooks (MP3 format) in two different places, and was able to play them. rgvmp3's response may be correct -- are you absolutely sure your audiobooks are in MP3 format?
The Pilot is quite handy for audiobooks ... very long battery life, and a good "resume" feature (even resumes in mid-track) if the player is turned OFF. Play then continues through the remainder of the tracks.
Resume is somewhat lacking when resuming from a bookmark, since only the bookmarked track will play.