Here's another work around that I found on internet...
"Please update your copy of the OverDrive Media Console for Windows to
resolve this issue.
http://overdrive.com/Software/omc/
Once you have transferred a WMA Audiobook to your device, a playlist
will be created for the Audiobook. Please note that WMA Audiobooks will
no longer be listed in 'Audiobooks' on your iOS5 device."
Basically OMC created a playlist under the "Music" app in your iPhone 4S. I don't know if it will work for iPhone 4.
Cheers,
ddmak