Chances are you were using Safari. If that is the case you didn't download it, because Safari doesn't have that option, normally. There are exceptions, like for PDF files.
There is a way around this, if you have the GoodReader app installed. Go to the the book and start streaming it. Now tap on the URL box at the top of the page and edit it so that it begins with grhttp:// instead of the normal http:// Tap Go on the keyboard when done and the file will start downloading in GoodReader.
An easier way, if you aren't already at the page in Safari, is to visit the page directly from GoodReader's browser and download it that way. Just tap on the file and you'll get an option to download it.
GoodReader will play mp3 files in the app. For audio files that it won't play, like the Apple iTunes Audiobook format, or wma files, you can download OPlayer and use the Open In option to play the book.
GoodReader is well worth having for several reasons. It's might be a bit confusing at first, but trust me, you'll find lots of reasons to be glad it's on your iPad.
Let me know if this works for you. It did for me with the two books I downloaded. The mp3 one played very nicely in GoodReader. The m4b (Apple iTunes Audiobook) played in OPlayer.
