You can download directly from the Kindle in two ways: using the Basic Web browser on the Kindle and finding a link to a compatible file (e.g. .txt or .prc). When you click on such a link it will ask if you want to download it to your Kindle and it will put it in the right directory and make it available on your home screen.
The other way is to put a book on your Kindle that has links to other books. For instance, the Feedbooks Download Guide. You can read more about it here: http://www.mobileread.com/forums/showthread.php?t=17465
Once you have this 'book' on your Kindle, you can browse the Feedbooks books and download easily (from the Kindle). All you need is to have the wireless on and be in a region covered by whispernet.
Either of these two methods will put the book in the correct directory. The way the original poster of the thread loaded the book was by using their PC and the USB cable and copying it over manually. In that case you need to know to put it in the 'documents' directory.