Make sure that you are only using one of the recognized file types:
Kindle (.AZW, .AZW1). Text (.TXT), Unprotected Mobipocket (.MOBI, .PRC)
If you transfer anything else to your Kindle via USB it will not show up on your Kindle. I made this mistake as a newbie with HTML files which will actually only work on the Kindle when you send them via your Kindle email address.
