This can be confusing at first. Remember, there are two areas of content on the nookColor. First there is B&N Library, which contains all the content you got from B&N. This content will all appear on the nookColor homepage when you click the "n" button. This content also appears under books if you go to library. Second, there is "My Files" which contains content you have loaded. To get to this section bring up the ribbon menu by tapping the ^ in the middle of screen and tap "Library".  In Library you'll find a section "My Files".  It's very unfortunatel B&N kept this divide between your content and it's just a shameless attempt for you to get all their content for them.

The best you can do to get your content and B&N content organized together is to use "Shelves". Click on a PDF or ePub in your documents and Add it to a shelf. The shelves are like categories and both your content and B&N content can be on the same shelf.