Welcome to the forum. :) I saw this post earlier, but hoped someone from your area would have popped up with an answer. I have the Stokes' North American Bird Guide; it's pretty thick as it includes all of NA rather than just a region. We keep this one in the car, so it's handy.
If you want a state specific guide, you could try Stan Tekiela's Birds of Arizona. It will not include all of Arizona's birds, though. His book for Iowa was the first guide I actually made use of; the Sibley's I had at the time was overwhelming because I didn't know a warbler from a sparrow. I would recommend it for a beginner, but I do not know how advanced you are.
Maybe someone else here can help you a little better.