If this happens, you need to choose "With a problem" and then from the listed books shown to you choose the problem type for each problem book (for a missing book choose "Book missing from shipment") from the problem options using the dropdown menu next to each book in the shipment.
Doing this will mark the book(s) you DID get received, including any problem books. It will NOT mark any missing book(s) received. (For any missing book(s), an email will go to the sender to let him or her know that the packaging arrived with missing book(s).) The sender can then respond and if s/he can send the missing item(s) then you can mark the item(s) received when they arrive from your My Account page.
If the sender is not able to send the missing book, then she should contact us (using the "send us feedback" button on the Contact Us page to send a message) and ask us to cancel the transaction, instead of making you wait for the system to declare the book as "lost."
If the book(s) were well packaged but went missing because of USPS damage, the sender can file a mail theft/loss form with USPS, as described on the USPS site: http://postalinspectors.uspis.gov/forms/MLNtRcvd.aspx
If you think that the Wrapping method may have contributed to the loss of the book(s), please do give (gentle) feedback to the sender; the sender can consult How to Wrap Your Book Shipment for information about creating a sturdy package that will withstand the rigors of a USPS journey.
Note: While the book is still listed in your account as "en route" to you, you will continue to get the usual auto-emails from PBS asking if the book has arrived; you should open and read them, and follow any instructions within - usually they do not ask you to do anything.
If the missing book hasn't arrived by the 26th day (the 35th day if the sender or requestor is outside the contiguous US) after it was marked mailed, then PBS will declare it lost in the Mail and you will get your credit back. If the book does arrive after that, you should mark it received from your Transaction Archive, as described in I received a book that was 'lost in the mail'.