There are numerous ways to do this:
1) IF YOU ALREADY HAVE AN AUDIOBOOK ON CD: Copy the disc to your computer's hard drive and convert to MP3 format if necessary. Connect your Nook HD to your computer and copy the audio files/folder from your computer to your Nook. Find the files under My Files in the library and open with Play Music (or any other player found in the app stores).
2) B&N's AUDIOBOOK DOWNLOADS: B&N has a selection of titles in MP3 that can be purchased and downloaded to a computer. Same as step one but without physical discs.
3) YOUR LOCAL PUBLIC LIBRARY: You can borrow audiobooks from your local public library using Overdrive and other services. Just be aware that when borrowing from Overdrive that the file needs to be in MP3 and not WMA format.
4) AUDIBLE: This is a very popular service and there is an app available on the Play Store. Basically buy, download and play through the app. It makes the bottom of my list, however, because it is owned by Amazon and I'm a B&N fanboy