The book should be in "My Documents".
If you're in "My B&N Library" the first on the list in the touch screen is "Go To My Documents". Hopefully you'll find the book there.
(I did a "trial run" on my Nook, since I haven't had it long enough to download many library books to it yet - use my Sony for that - and it worked a treat. Drag and drop the book in ADE and it shows up as it should in My Documents.)