Looks like they have a built-in wireless card
for downloading via 3G cell-phone connection. Transfering audio books and mp3's requires a computer hook up via usb with at least Windows 2000 on the computer.
Here's a link to the users guide (pdf):
https://kindle.s3.amazonaws.com/Kindle%20DX%20User%27s%20Guide%2C%204th%20Edition_English.pdf