Okay, this will be long.
Spoiler
Firstly make sure you have beaten Flandre in SDM. If you already do that, you need to go to the Netherworld. Meet Yuyuko inside Hakugyokurou, battle her, then go to the back of Netherworld. You'll be in the Saigyou Ayakashi garden. It's infested with Lily dolls. In front of the tree, there's a Lily doll and you have to talk to it. A battle triggers with a Lv99 Normal Lily. No you can't catch it. After you beat it, it drops the first book.
I don't know if beating Tenshi is required, but just to make sure go to Heaven and beat her if you haven't.
The next step is go to the Human Village, a maid will wait for you when you want to go to Akyuu's house. Talk to Akyuu, after that you rebattle the whole Team 9 again. After the battle you will be transported to Three Fairies base/house in Route 6. Go to Suzuran Field, to where you fought Medicine. Beat Medicine, after that gap to Youkai Mountain Mayohiga rest stop, Aya will be there. Talk to Aya and you will be taken to the Shining Needle Castle. Inside there is Seija, and you need to fight her. After beating Seija, Medicine will come and give the last book to you.
After you collect all the books, go back to Kosuzu and have her read all the books you collected. An event will show up, and you will be given another book for Kosuzu to read. After all is done, go to where everything began. Use the rubber boat, go to the right, and there's a cave. That's it for the books and stuff.