If you open up the kobo desktop program your book bought from Kobo should shown in your library. Connect your Aura (I have the small Aura not the HD but I assume it's the same process) by the USB lead. Once the Aura is recognised press connect on the Aura, the Kobo desktop program will now connect to your device. Any books in your library not yet on your ereader shoukd then sync across. You can see the process at the bottom left of your screen. Then when it appears to have been completed eject the ereader. The Aura then loads the book and it will appear under books.
I'm sure you know how to do this already but I agree it's quite a strange and unwieldy process and I've had one sync which didn't actually do anything, which I can't explain.
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