This site introduces the idea of infinite sets:
http://mathforum.org/isaac/problems/cantor1.html
This site introduces the idea that there are different sizes of infinity:
http://www.math.grinnell.edu/~miletijo/museum/infinite.html
A slightly more advanced discussion of sets can be found in the article, “A Crash course in the Mathematics of Infinite Sets,” by Peter Suber, Earlham College:
http://www.earlham.edu/~peters/writing/infapp.htm