There is a substantial thread on bioinformatics books here.

These are some pretty cool books on/including phylogenetics

• The Phylogenetic Handbook: A Practical Approach to Phylogenetic Analysis and Hypothesis Testing
• Phylogenetic Trees Made Easy - A How-To Manual
• Molecular Evolution - A Phylogenetic Approach
• Molecular Evolution and Phylogenetics
• Reading the Story in DNA - A Beginners Guide to Molecular Evolution

There is also an excellent paper by T. Ryan Gregory

• Understanding Evolutionary Trees

And these cool blogs/sites too

• http://biophylo.blogspot.com/
• http://rutgervos.blogspot.com/
• http://iphylo.blogspot.com/
• http://treevolution.blogspot.com/
• http://phytools.blogspot.com/
• http://www.davelunt.net/evophylo/
• http://phylogenomics.blogspot.com/
• http://bodegaphylo.wikispot.org/Front_Page
• http://www.r-phylo.org/wiki/Main_Page
• http://cran.r-project.org/web/views/Phylogenetics.html

They should give you all the information you need for understanding the theory behind phylogenetic trees and tree building :-)

Google bioinformatics.

Building trees:

http://books.google.com/books/about/Inferring_phylogenies.html?id=GI6PQgAACAAJ

first you need to learn phylogenetics, not all of bioinformatics, because thats quite a diverse range of topics!

I am using Multiple Sequence Alignment algorithm to create consensus sequence from a family of protein sequences, then from that consensus sequence phylogenetic tree has to be created.

Im not sure what you mean by this, you need the whole alignment to make the tree, not the consensus! s tree is just a representation of an alignment with some rules about evolutionary distance.