It should be in the app you selected in the pop up when you clicked download such as Files or Dropbox, it's been a while since my iTunes/iPhone days but it used to be that you had to download it to a computer first and use iTunes to sync it across in the same way as you have to with music rather than downloading it directly to the device.
Help please as I’m a bit of a technophobe. Once you click on the link where is the audio book stored on my iPhone so I can retrieve it later
Thanks for that, the link downloads the automatically straightaway!
You can type anything into the email address and it will accept. According to their mailing list my email address is 'dont email me'
FYI, to save anyone else signing up for spam just to get the link, it's here: https://media.volumesapp.com/minecraft-black1.m4a As the offer expires today, I expect it'll stop working tonight.