How do audio books work?

I just downloaded overdrive media console, and i was wondering how it works. I found an audio book that i want from one of my local libraries, but now i don't know what to do. It says there isn't any copies available right now, since its kinda new. But i was wondering how it works on my mp3 player, will it display the book? Or does it just read it? Im new to audio books so im not even completely sure if im doing anything correct. Thanks for any help =]