I don't have my Vox on me, so I can't give you exact directions, but loading books on to the Vox is a two step process: you copy the files to the Vox first (you can use Calibre for that), then you import the books using the Vox ereader app. (Try finding it in the menu from the library.)

Again, my apologies for not being more specific. It's just that my Vox is at home and I usually use a different app for third party ebooks.