If you want to do it in SPSS - have a look at the work of Andrew Hayes. He developed an add on the SPSS. Andy Field also has a YouTube video explaining how to install, analyse etc
In addition to the excellent texts mentioned, you might consider the classical very well-written and thorough book by David P. MacKinnon: "Introduction to Statistiscal Mediation Analysis" (2008, Lawrence Erlbaum).
The book contains input programs and output for analyses with SPSS, SAS, EQS, LISREL and Mplus. The book is accompaigned by a CD with files to use with these programs