This is the best site for beginning to learn Quenya. It has tons of links and even a series of simple lesson plans.www.uib.no/people/hnohf/
Please forgive me if that address got screwed up somehow; I have no idea how to insert such things into message boards...I'm so hopelessly computer illiterate.
There are lots of sources on the internet. A book was published some years ago, but it was outdated soon afterwards by newly published Tolkien material.
Good luck, and I'm happy to help with any questions.
P.S. And I forgot to add--Nazgul is just another name for the Ringwraiths. They rode Nazgul mounts at first, just those black horses. After the horses were destroyed crossing the river on the way to Rivendell, however, they rode great scaly bird-beasty things.