GGG, agree with you, when they ask for learning, we can't stop it :P My son ask me to teach him reading too, and I just bought two set of BOB books from costco too :P and he loves it !!! My DS3 is not that into reading, sometimes he refuse to have story time... glad that the BOB books have numbers on each page and on each bk, i think this is why my number obsessive son want me to read these book with him. He also tried to read the words out too. He can read the words out phonically, however, i don't know how much he can understand it as we are not speaking english at home, anyways as long as he think reading is fun, that's good enough for his age.
Other than BOB books, fantastic phonics is useful too, and it is more easy for my son to follow, he can read the sentence out but he seems like BOB bks more. You can try some free download (I didn't learn phonics before, so somehow it is a bit hard for me to teach my son, but glad that i have a chance to learn it now ^^)
http://www.early-reading.com/