Have you tried going to the all items section in your library and hitting refresh?
If you purchased from the B&N site you don't download it seperately but from the Desktop reader. Go to My Library ebooks (or emagazine or enewspaper if appropriate). Make sure your library sync's with the server. If item doesn't show up automatically use the sync icon (circle with connter clockwise arrows in the B&N Desktop my library menu). Then select the ebook and you should see a download link.
If you purchased from another site including the B&N owned Ficitionwise and ereader.com, its up to you where you initial download the book. Most sites allow you to download again if you cannot figure where you downloaded it. Once you know where you downloaded you have the Desktop Reader add the book by going to my library my stuff and using the add new item button.