If you're happy with fiction, I'd recommend Mary Renault's Alexander series, which starts with Fire From Heaven, followed by The Persian Boy and then Funeral Games. Obviously she takes some license with the history, but the books are mostly true to the sources, are very well-researched, and are very readable.

Alternatively, I recommend Alexander The Great by Paul Cartledge as a non-fiction starter, but I did have some knowledge of Alexander when I first read this so I can't guarantee how approachable it is.