You know you don't have to buy everything online. Just go to Barnes and Noble or borders. You can get just about every Russian book you've ever wanted there... Including the penguin one.

As for alphabet sounds http://langintro.com/rintro/index.htm

Real good site. Its the same one I used like 5 years ago. If you really sit down and do it to it you can learn the alphabet in like an hour.

Lastly, as great of a song as it is. Ditch the soviet anthem and watch some Russian TV.

http://www.corbina.tv/

the rest is up to you! Good luck!