I believe your Fuze works the same way as my Clip - this is the process I use for mp3 files (I'll use the Stephen King book "The Gunslinger" as an example here):
1. In Netlibrary, transfer the mp3 files for the book to your PC.
2. Edit the tag for ALBUM to "The Gunslinger" and the tag for ALBUM ARTIST to "King, Stephen". No need to edit GENRE tag.
3. Set your Sansa to MTP mode and connect it to your PC.
4. Double click the first mp3 file on your PC (in this case, 122427.wmp). This should open Windows Media Player (WMP) and start playing the audiobook.
5. Pause the playback and click on "Sync" in the menu bar. You should see an option to "Sync Gunslinger to Sansa Fuze". Click on this and it will sync (transfer) the audiobook to your Sansa.
6. When the sync finishes, go into Windows Explorer and the \MUSIC folder on your Sansa. You should see a subfolder named \King, Stephen and a subfolder under that named \The Gunslinger. That folder will have your mp3 files in it. Cut and paste \The Gunslinger folder to your Sansa's \AUDIOBOOKS folder. Delete the \King, Stephen subfolder from the \MUSIC folder (to clean things up).
7. Disconnect your Sansa from your PC. Now when you navigate to your Music > Audiobooks, you'll see a book titled "The Gunslinger" along with your other WMA audiobook titles. When you select "The Gunslinger", you'll see all the mp3 files in there.
The reason you were getting an UNKNOWN folder is due to the ALBUM tag not having the audiobook name. You also must use WMP to sync the files to your Sansa. You can't just copy and paste them w/o using WMP sync.