When I first converted, someone had lent me a CD set called "The Life of Muhammad" (it's actually 3 CD sets now) by Anwar Al-Awlaki. It will teach you a lot about Islam simply through the example of our Last Messenger, as well as give you a good foundation for how the Qur'an was revealed, the battles between Mecca and Medina, and the formation of the Islamic State. It's really good stuff.
The sets are a bit pricey (around $50-60), but if you can't buy them, I'm sure there are some clips online where you can at least gain some benefit (although I don't advocate downloading the whole thing online unless you really have the intention to buy it later).