Yeah, you can't use the Zune Software to upload the Audible books. You need to get the Audible client software from Audible.com and the it will sync the Audiobook directly to the Zune (you'll need to have the Zune Software closed to do so).
If you need more info on this, there's a great tutorial here ->
Zune and Audible - Zune Luv Podcast #5
Hope that helps...