I tried the Dr. Richards Book and CD set, but I felt the paperback $10 book "Feeling Good: The New Mood Therapy" worked much better for my social anxiety and depression. I have been on every medication, to therapists, in group therapy, and CBT has by far helped me the most with my problems by eventually changing the irrational thoughts which I used to have. I would highly recommend this book, and it does take work, sort of like homework but definitely worth it!!
Did you work through all of the Dr. Richard's Book and CD set? What didn't you like about it? I'm currently in the middle of it.