If this is Amazon content, DRM usually binds it to a single device. So if, for example, you download content for use with Kindle for PC, then side load that onto your Kindle, it will not be 'decodable' on the Kindle. Indexing will get stuck. This can happen with samples as well (when in Topaz format at least).
You need to either download directly to Kindle from Archived Items (use 5way right to add to queue instead of 5way select, which will force you to wait for each download), or go to Manage Your Kindle with a web browser and either send it directly from there or select the 'transfer via computer...' option.
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