For an overview of the whole process of market research, you can read Market Analysis from the US SBA.
One useful book is the AMA Complete Guide to Marketing Research for Small Business by Holly Edmunds, which provides instructions for conducting both qualitative and quantitative primary research.
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The U.S. Small Business Administration has a guide for Market Research as part of its Small Business Planner.
There are also online tutorials from KnowThis.com, the Marketing Virtual Library: Finding Secondary Research as well as How to Write a Marketing Plan.
You can also consult the Market Research Portal's Market Research Glossary or the Market Research Glossary of Terms from Global Market Insite.