You don't have to get all the books straight away! You'll definitely want to have book 1 from the start so you can prepare for your next lesson and don't sit through your pre-flight briefing in a state of dazed confusion. You'll also need the Air Law book fairly soon - enjoyable bedtime reading that one...
The first two books will keep you covered for your early flying and your first two exams. You'll be able to pick up the other books you need as you go along, as well as stuff like charts, protractors etc.
You could try second-hand book shops in your area - some have an aviation section, but make sure you get ones that are updated for JAR-FCL. It's also worth looking on Ebay - the Trevor Thom books appear quite regularly there.