I read 'How to Solve It'; it's a wonderful book, but you won't appreciate it unless you already know it, and hence have no need of it. The best way to learn to solve problems is by solving them, I think.
How to Solve It poses a bunch of ideas about how to go about solving problems. However, if you are a math major, you probably know most of the ideas covered, but still the book is a good read.
They have a pretty wide variety of books, mostly centred around problem solving. Although the books are more or less geared towards high school students, I'm pretty sure they have some for undergraduates (ie a putnam book, etc)