Here is a site with instructions:
You'd have MP3 audiobooks if you ripped from a CD, or if you found some source of freely copyable audiobooks, like classic books or non-best seller books (e.g., podiobooks).
If your source of audiobooks is not MP3, but has DRM, e.g., free audiobooks from your local library (from NetLibrary or OverDrive Media) which are in DRM'd .wma format, then it's much harder to convert. After all, they're DRM'd for that exact purpose, to not let you convert to a freely exchangeable format. In that case, the only reasonable solution is to buy another player (you can buy them for cheap) that supports native playback of those types of DRM'd audiobooks.