1. Show information
When you have downloaded your audiobooke in the iTunes friendly format and added to your library, show the information for the file by going to Archive -> Show info.

2. Change media type
Click the tab "Options". This is where you change the settings so that iTunes recoginzes the file as an audiobook instead of music, and remembers where you left off when you open it again.
Change media type to "Audiobook" and check the checkbox for "Remember position".

3. Accept changes
When you have made the changes the settings should look like this. When you press the OK button iTunes will move your file from music to audiobooks.

4. Find the audiobook
The audiobook can now be found by clicking "Audiobooks" in the left panel. If you don't see the Audiobooks category, go to iTunes' preferences and check "Audiobooks" under Show in the tab General.