Just started playing one, now I need a history lesson

I don't know any books, but go to the UESP and have a look around there for books. Also go to the imperial library website. Hope this helps.

There are actually very few books on Redguard lore in Skyrim. They are more in Daggerfall.
I could recommend The Warrior's Charge, but it hardly details the lore. You can steal from the Jarl of Whiterun's quarters.

Annotated Anuad, Alik'r, and anything involving the history of Tamriel will have some info on Redguards. I can also tell you that the vast majority of Redguards abhor magic, and there are the Crown and Forebear factions. Beyond this, there are the semi-nomadic "Dunedweller" Redguards who live in the harsh sandy Alik'r Desert, and the more rocky and arid Dak'Fron Desert.

Night falls on Sentinel is also pretty good

Though honestly I can't remember if it deals with Redguards or Bretons, considering the title you'd think Redguards.

http://www.imperial-library.info/content/pocket-guide-empire-first-edition-hammerfell
http://www.imperial-library.info/content/pocket-guide-empire-third-edition-ra-gada-hammerfell
http://www.imperial-library.info/content/varieties-faith-empire
http://www.imperial-library.info/content/monomyth-yokudan-satakal-worldskin
http://www.imperial-library.info/content/lord-vivecs-sword-meeting-cyrus-restless
http://www.gamesas.com/topic/1336585-tiber-septim%E2%80%99s-sword-meeting-with-cyrus-the-restless/

The last two are obscure texts, and are thus only somewhat canon.