Shouldn't happen with ordinary book files, it'll usually find 'em anywhere on card but if you look at folder structure on card there is a Sony Reader folder, you can try looking in there for a media/books folder... I just have author folders at root level of card and they work fine.
I think your problem may be that your book{s} are DRM protected purchases which (I think) require transfer through Sony (or ADE) software to know that your device is authorised.
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