A couple of books that I would recommend anyone on this forum are
Shyness - A bold new approach by Bernardo Cadducci and the feeling good hand book by
by david burns
Its not specifically about self esteem, but 'Get Off Your "But": How to End Self-Sabotage and Stand Up for Yourself by Sean Stephenson' is one of the best books i've ever read
I'm currently reading through "Self-Esteem" by Matthew McKay and Patrick Fanning. A very accessible and informative book that discusses the nature, treatment and cause of low self-esteem.
I recommend Ten Days to Self-Esteem by David Burns. Don't pressure yourself to finishing it in 10 days though It's a very hands-on book with lots of exercises that use tried-and-true CBT techniques. I couldn't agree more with your comment that social anxiety and self-esteem go hand in hand.
There are some good suggestions on here (i haven't read any of them) I'm going to ask the therapist today if she has any books that she would lend me.. Even though I lost the other one she lent me...SHH.. I'll see what she has to say