See [Sets for Mathematics][1] by Lawevere.  Its a great book, but it is misnamed.  It should have been called something like "An introduction to category theory via set theory."  The point of the book really is category theory, not set theory.


  [1]: http://www.amazon.com/gp/product/0521804442?ie=UTF8&tag=theende-20&linkCode=xm2&camp=1789&creativeASIN=0521804442