Importing audio books in MP3 and WMA format into your Zune device is not possible. You will need to use their main application, Overdrive, and manually create a WAX file which contains data (cover, path to track) about the track you are importing.
The wax file should look like this:
<asx version="3.0">
<entry>
<ref href="\\path\to\file\file.wma"/>
</entry>
</asx>
Put the path to your WMA file and place it in the same directory where the wma/mp3 is and then drag the wax file over the TransferWizard.exe application (from the Overdrive installation folder) and you will see you file synced with your Zune.