if your recording your audio books from cd, then they should be put into tracks, just make sure to put a number before any actual text (the first part of the book labled 01 - audiobookname) and it should play them in order. if its a file over an hour long i would look for software to break up the file into smaller (more digestable) segments. its a software limitation of the sony network walkmans that has gone back since the beginning of the network walkman product line.
however, guessing that these are downloaded audio books mostlikely, it then becomes a conversion problem.
i did a google search for
audiobook to mp3 converter
and found a few things, but all those solutions wouldnt help much here. your looking for something fast easy and free.... i'm still searching for a solution that includes the free... but for the meantime see if this helps you
http://www.maniactools.com/soft/m4a-to-mp3-converter/audio-books-m4b-to-mp3-converter.shtml