If you can see the file you downloaded from us, it will either be in your Downloads folder or wherever you chose to put it when you clicked download.
If you open a Finder window (to see your documents) and navigate to where the downloaded file is (called: "What The Dogs Taught Me About Being A Parent.zip), you then double click the file to 'unzip' it.
This will create a duplicate of the file above the original without the .zip at the end.
Inside this folder are all the individual files that make up the 24 chapters.
You can then create a playlist in iTunes and simply move these files into the playlist.
Then sync your iTunes with your device if you want to play it on your iPod, smartphone or tablet.