The Composer is Dead by Lemony Snicket
The Composer Is Dead is hilarious and educational. What can be better than that? It introduces the instruments in an orchestra through an investigator's attempts to solve the murder of a composer. There's a picture book and CD, whereon Lemony Snicket reads the story accompanied by original orchestral music. Seriously, it's hilarious. I love it.
It's entirely possible that if you don't appreciate the humor in A Series of Unfortunate Events, you won't like this much. Here's a video with Lemony Snicket and Nathaniel Stookey, the composer, which is making me laugh right now.