You're looking for the "Programming Handbook". IMO It's one of the best written and most mature document in the entire 50 somewhat book set. I'd recommend that you generally follow it.
From my experience most people learn better by getting their hands dirty and playing around with the code. Be careful not to make it all theoretical.
Get through the basics and start messing with the code. Use the docs for reference if you're searching for a solution or you've stumbled on anything new.
The forums are a great help to keep up with what's happening. I'd recommend that you also subscribe to the PEG.COM email group, it usually takes some time but almost everybody ends up there.
You can download all the docs off PSDN.COM ( for free ofcourse ). If for some reason you don't have access to the on-line help ( which is pretty strange ) you can use the "Language Reference" doc.
If you're interested you can order hard copies of the books @amazon.com.
You'll also find other useful resources @psdn.com like the Web Events which are audio/video lectures/presentations on a certain subject. There are usually 2-3 new ones a month.
There are also some interesting open source projects, wiki's, instructional videos etc. Gordon Campbell's - PDFInclude, Jurjen Dijkstra - global-shared.com, I also like Scott Auge - amduus.com to name a few. You can find a more complete list of utilities at the PEG utilities page.
Good Luck !