Not sure what you mean by "not with mp3" since that is going to be the format for almost all downloaded audio books.
Amazon - actually Audible (owned by Amazon) is the place to get audio books. They will be playable on a Mac, Windows, iOS, Android, Windows phone and Blackberry.
An iTunes audiobook will only be playable from within iTunes or iOS.
The picture have posted there is not for an audio book - it is for an ebook.
You need to make sure you are in the Audiobooks section if you're going to use iTunes, not the ebook section of the Books tab..
If you are wanting to check it out - head to Audible - grab their trial membership, currently $7.50/mth gets you 1 book a month for first 3 months.
If you want to check out free audio books, head for your local library web site or check out LibriVox.