Mastering Regular Expressions, 2nd Edition
By Jeffrey E. F. Friedl
2nd Edition July 2002
0-596-00289-0
this is the best regular expression book around, you can also download chapter 9 for .NET here:
http://www.oreilly.com/catalog/regex2/
after you know the theory, you just need to have a lot of practices, for example, doing some screen scraping against some web sites, extracting the information you want, also check out this web site: