Just connect your Droid to your computer using the supplied USB cord. Than, if you're using Windows, which you most likely are, just drag & drop the audiobook files to your sdcard. If they're a supported format, the "Music" application should recognize them.
If you need any more detail/explanation, just ask.
EDIT: Are you asking how to obtain audiobooks for free? Besides warez, try looking around; some sites offer trials, etc.
Once you buy them (Audible, Amazon, etc.), put them on your PC and then just drag and drop them into the Music or Audiobook folder (create if not already on your sdcard). Tell your music app to look at that folder for music. Done.