The bible of MPI programmers is the on-line manual, which can be read in the HTML format. It is located at: http://www-unix.mcs.anl.gov/mpi/. You will find both ``MPI Standard 1.1'' and ``MPI Standard 2.0'' there. You can also find information about MPICH and MPICH2 there and download both packages.
There is a couple of books about MPI that are rather helpful too. First there is the introduction to MPI by the very authors of the library and its implementation, MPICH, ``Using MPI - 2nd Edition: Portable Parallel Programming with the Message Passing Interface (Scientific and Engineering computation)'' by William Gropp, Ewing Lusk, Anthony Skjellum and Rajeev Thakur. You can find this book on Amazon.com. It costs $42. The next book is ``Using MPI-2: Advanced Features of the Message Passing Interface (Scientific and Engineering Computation)'' by William Gropp, Ewing Lusk and Rajeev Thakur. This book is the follow-up to the first book and costs $42 too.
The on-line MPI documentation can be purchased in a book format from Amazon.com as well as a two volume set, ``MPI: The Complete Reference'' by William Gropp, Marc Snir, Bill Nitzberg and Ewing Lusk, for $68. Volume 2 covers MPI-IO.
You do not have to buy any of these texts for this course. Apart from various examples you'll see in these pages, you can also download MPI programming examples from Argonne. But if you intend to develop serious MPI applications, you should probably get all four books.
My suggestion is that you should hold on with any purchases until this course is finished. This will give you a better idea of what this whole business is about. You can buy the books then, if you think you will really need them.