If you want to copy the books that are on CD to your zune, you will need to copy them to your comptuer as an MP3 or WMA files first.
once they are all nice and neat in a folder, you can install the Overdrive Audiobook software on your machine. Technically this is only for overdrive books, but you can use it for your own personal books that are in MP3 or WMA format.
Download the Zune Wax Creator from here
http://www.megaupload.com/?d=S93GMGJD
I created this program and it does work, there are several threads on this board, zune.net and zunescene that can verify that.
Run the Zune Wax creator and follow it's instructions. It will put the mp3/wma files on your zune in the audiobook section.