If using an iPhone try the app 'Aves Vox'. It's free and if it suits you then a cheap upgrade allows you to download tracks to your phone. Covers all the birds on Xeno Canto.
I use http://www.xeno-canto.org/collection/area/europe. If you have an iPhone there's a good app that goes with it, but even without it, you can download whatever you want to play whenever you want.
I am looking to purchase some CD/DVDs to learn to identify birdsong. I have seen a selection of DVD/CDs for sale on Amaon. Does anyone recommend these BBC CDs