Luke is right, I don't think Jim Henson ever wrote a book. The books you are probably thinking of are:
"Jim Henson: The Works, The Art, The Imagination"
"Jim Henson's Designs & Doodles"
There have been a number of books written over the years that are out of print. I think nost people agree among the best are:
"Of Muppets and Men"
"No Strings Attached - The Story of Jim Henson's Creature Shop"