Update:
1. The Kindle swithes off even when it's plugged in to USB in "eject" mode. You have to turn it back on a few times to let it finish the job.
2. After I turned it back on about three times, it did finish indexing.
So the mobile library is loaded on my Kindle and searchable. Yay! How cool to be able to search a keyword on the device, select a book, click it and see it appear in the library!
Thank you to all the wonderful people who make this magic possible.
Cheers,
Andy