The Colloquial language series of books and audio are one of the first courses language learners and experienced polyglots go to when starting a new language. At the time of writing, they cater to over 70 languages and are still adding new ones to their list. It doesnt matter if you're learning French, German, Zulu or Burmese - they probably have the language you're looking for.
The books and CD's are usually sold seperately. And the CD's are more expensive than the actual book. However, by using the Colloquial courses you come away with a solid grounding in the language. I personally rate these courses better than Teach Yourself. One of the reasons why is that, as the title suggests, you learn to speak like you're actually from that country. Each place has it's own slang words or regional words that you wont find in Teach Yourself or other coursebooks.
Here is a very good review by hyperpolyglot Professor Arguelles