The book has to be available in the Amazon cloud before it can by synced to other devices. So if you've bought a book from Amazon you will automatically be able available to read and by synced with both your PW and via the Kindle app on your phone.
If you buy a book from elsewhere, you need to put in the Amazon cloud before you'll be able to read/sync on other devices. As Cinisajoy says, email it to your Kindle's email address to do this.
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