For the JAR exams, you can buy the books in any pilots shop. Trevor Thom's books are good - you'll need all of the series, except for book 1 (which is useful to have anyway - it tells you about the flying you'll be doing), book 7 (which is on R/T, and is crap - study from CAP413 instead) and, I think, book 5 (the instrument flying one, I might have got the number wrong).
Jeremy Pratt's books are just as widely used as Trevor Thom's, but I don't know them, so I don't know which of his to tell you to buy.
Not sure where you'd do the exams. I did them at my flying school - but if you want to do them before you start training, you won't have a flying school in the UK to do them at. But Evo is right, you will also need to do the (much easier) FAR exam when you get to America.
FFF
--------------