Great question! You can purchase Audible content through a variety of ways.
a) You can buy individual programs through iTunes Music Store with your iTunes account.
b) You can buy individual titles through Audible.com. You will need an account at Audible. The Audible site has a broader libary that includes many more niche and special interest content.
c) You can subscribe to one of the Frequent Listener Plans or Periodical Subscriptions at Audible.com For example, with an Audible account, you can subscribe to the Wall St. Journal or New York Times and set it up to download automatically each morning.
Both stores offer there own benefits. But you must have an account with whichever one (or both) you buy from.
And of course, with either option, you can download the programs into your iTunes library for playback and transfer to your iPod.