I'll try and help;
Try these steps:
1)After you download the audio lesson in question, try right clicking it and selecting open with> iTunes.
(Just saving it in the folders might not add it to your library, since the proper file associations need to be made.)
2)It should then be automatically imported and added to the iTunes folders.
3)Then, when you plug in your iPod, click sync (unless it syncs automatically), and make sure that the track is added, usually by having "Sync all music" checked in iPod options, or else click the album that is created "Rocket X Y", where X = Language and Y = level (premium, premium plus etc.), drag it to " [Your Name] iPod" in the sidebar, and it should sync.
4) [optional] The audio files seem to be named with underscores, so if you want to remove them, right-click the track in iTunes, select "get info" and edit the "Track name" as you wish.
Hope that helps. if it doesn't, just let me know and I'll try to help more.