An audiobook generally comes in two formats: MP3 and WMA. Both of these formats will play on PCs and Macs and most portable players, like the iPod.
The book publisher chooses which format they want the title to be distributed in. When you purchase a downloadable talking book from an online store, you are usually taken to a special area of the site where you can choose from a variety of file format based on the quality of the recording.
Naturally, the higher the quality, the bigger the file and thus the longer it will take to download.
If you have a high speed broadband Internet connection you will probably prefer to download the highest quality file available. If you have a slow Internet connection you can choose to download a file that is smaller in size, but will not be of quite the same quality, but it will still be very listenable.