To transfer content to your Kindle.
1. Connect the USB cable to the Kindle and your computer
2. Your Kindle should appear on your computer in the same location you would normally find an external USB drive
3. Open your Kindle drive. You should see a folder entitled 'documents.'
4. Transfer the downloaded files into the 'documents' folder of your Kindle. (Drag and Drop) ( Or copy, which is how I do it.)
5. Using your computer, eject your Kindle from your computer. The content you transferred should now appear in Home.
When you transfer a book to the Kindle it will start indexing it (Basically logging all the words for Search purposes, plus noting things like date added, title, author's name) This doesn't take very long with one book, but if you download a large number in one go it will drain the battery quite quickly so don't be surprised if you see that happen. Also, while doing the indexing your Kindle may react more slowly to keyed commands. You may need to be a little patient. People often complain that their Kindle has locked up during this process, but that's invariably due to them pressing key after key without waiting for the Kindle to react.
Hope this helps