Install ES File Explorer from the Amazon App store. Open it and browse to sdcard/downloads and your books are probably there. You can try to move them to Documents, but it may not work.
IMO, the easiest way to get non-Amazon content onto your Fire, is to download the .mobi files to your computer and then e-mail them to your Kindle. A little cumbersome, perhaps, but they will be in the cloud then and accessible from all your devices.
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