This video shows you how to download Overdrive ebooks to your Amazon Kindle using your supplied USB cable. You would do this if you do not have access to a wifi network. Overdrive library books can only be downloaded to your device via wi-fi or USB. Many Kindles can use a cellular 3G network to download purchased ebooks; but library ebooks cannot be downloaded via 3G.
UPDATE!: Penguin Group has recently decided to no longer provide ebooks and audiobooks to our ebook provider Overdrive. Also, existing Penguin ebooks in our collection for the Kindle can only be downloaded via USB cable, not via wi-fi. Even if you download ebooks wirelessly, for these Penguin Kindle-format ebooks, you will have to use a USB cable from now on.