I have found that when I order Kindle books I have to turn Wispernet 'Off' and then back 'On' after I've ordered the books. It seems that if Wispernet is 'On' when I order them they don't download. When I go to My Kindle Account on Amazon after ordering the books, they are in Pending status until I've turned Wispernet off and back on.
After I make a purchase I just go to the menu on the home page and click on the option that says something like "check for new and sync" then it downlaods everything for me. Otherwise I think it just checks every 10 minutes or something.
Rachel