Can you be more specific on once you see the Nook icon in ADE? Do you see the book in your list in ADE under the "All Items" category under "Bookshelves" with the days remaining before the "borrowed item" has expired?
While in My B&N Library, sroll up on the bottom screen to My Documents, select that and you should see your downloaded book. It took me many hours to find that out! Hope it works for you.