Audio books cannot be downloaded via Whispernet, so it doesn't make sense to search for them on the Kindle.
As far as I know, the Kindle store on Amazon doesn't have them either. However under "Books" on Amazon, in Advanced Search, you can specify the format as "Audio Books". A quick look showed only audio cd's though, so I think you'd have to rip them to mp3, and combine chapters, to play them on the Kindle. I think a lot of people use Audible.com for audio books. Also, Project Gutenberg has some free ones, read by volunteers. Not as professionally done, perhaps, but the price is right!
Kindle supports Audible.com's format, and mp3 for audio books.
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