In case anyone is interested, the
Sudoku Volume 1 book works. Basically what you need to do is turn on your wireless, and desktop internet access, and when you click a link in the sodoku book it loads the puzzle. At that point you can turn off the wireless (or not) and play the game. It uses javascript to play the game -- all the instructions are included in the book.
It's kind of a cool concept and points the way to developing other projects that use javascript to provide interactivity with the Kindle.