Download:
http://www.mobipocket.com/dev/
and download the "mobigen" tool. Unzip it into a folder and make sure that folder is on the path.
Now, start a command prompt and navigate to the folder containing your opf file. Type in the command:
mobigen myfile.opf -c1 -s0 -jpeg
This will grind away for a minute or so and produce you a nice mobipocket file for the CyBook.