We have purchased material from abroad and the material is in transit as on closing of the financial year (say 31-03-11) but material physically received on 15-04-11. How to show this in books.

When did the title of the material pass? Was it shipped FOB Destination or Shipping Point.

If the material was shipped FOB Destination, then there will not be a journal entry until you receive the material.

If It was shipped FOB Shipping Point, then you would include it in your inventory. Your journal entry will be:
Debit your material account for the amount
Credit your purchases or payable account for the amount