Can i sue this company

i live in IL
i order this thing from this website, ps2cover.com, it took them 37 day to deliever the pacakage and still i didnt get some cds from them that had to come with it? and i paid for express shipment that takes on 3-5 to deliever, it cost me more than $20 for that. and they told that they are planing to send the cds pretty soon

who can i contact to sue them if i can? or do something about this?

Have you tried looking in the yellow pages of your local phone directory in the attorney's section? Always lots of full page ads, they want your business.