Thanks to you all, but I'm even more confused now.
I did check the original file anyway, with the Mobipocket Desktop reader, and as you would expect had no problem.
I looked at the folder on the SD card, and noticed that there was no .mbp file for that book.
Just to be obsessional I erased the file from the SD card and copied over the original from the backup flash drive on to the SD card.
I followed the directions for running Windows XP Check Disk on the SD card, three times, with Automatically Fix File System Errors and Scan for .. Recovery of Bad Sectors together and separately.
Then I opened the file on the SD card with the Mobipocket Desktop Reader, and could both set a bookmark and return to the last position.
Then I safely removed the SD card and the card reader from the computer.
Then I put the damn thing back in the Cybook, and still could not return to the last position or set a bookmark.
I have a spare SD card, and I suppose if I must I could try using that one and repopulate the new card from the backup flash drive. But I'd really rather not.