Teach Yourself Russian

Teach Yourself is the best guide out there for learning another language. There may be better guides, but you can bet they're more expensive. There are also severely over-rated guides like Pimsluer, who will as promised teach you to converse in another language quick and easy, so long as your idea of learning a language means using eight cds to learn four paragraphs worth of dialogue.

The Russian guide is severely lacking in grammar guides, audio exercises, but is still quite helpful. You will have to learn Cyrillic to proceed with it though.