A very good book to start with on this whole realm is Allan De Botto's "Consolations of Philosophy".
It was written to tie in with a TV series on the BBC a couple of years back. It takes a group of modern anxeities - not having enough money, death, love, etc, and uses different philosophers to talk about why you needn't be scared, and how to draw solace and stenght.
It's not a self help book, but it helped me beat my depression when my marriage ended.
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