'Kaufman Field Guide to Insects of North America' is a good one, even though it is for north-american species only it has a nice description of each order so it might be helpful for identification to orders:

https://www.amazon.com/Kaufman-Field-Insects-America-Guides/dp/0618153101/ref=sr_1_1?ie=UTF8&qid=1541300853&sr=8-1&keywords=Kaufman+Field+Guide+to+Insects+of+North+America

For North America, this is a good choice:

A Peterson Field Guide to Insects: America North of Mexico (2003)

by Donald J. Borror (Author), Richard E. White (Author), Roger Tory Peterson (Editor)

For identification to orders, the best book is: Borror, Donald J., Dwight Moore DeLong, and Charles A. Triplehorn. An Introduction to the Study of Insects. Philadelphia: Saunders College Pub ( 7th edition)

Thank you Alina Avanesyan

Charles Vincent Thank you

Luis Miguel Constantino Thank you for your advice, it was very helpful.

Hi Tinatin

I cannot find a guide that covers the Caucasus or even Eastern Europe other than one that was mainly photographs. However, you could find Michael Chinery's "Pocket Guide to Insects of Britain and Western Europe" useful. It contains some easy to use field keys as well as informaiton about orders and families with many colour and line drawing illustrations. see https://www.amazon.co.uk/Collins-Pocket-Guide-Insects-Britain/dp/0002191377 for an example of cost.

Ian

Hi Tinatin

I agree Luis Miguel Constantino comment that one of the best book for Identification insect orders is: Borror, Donald J., Dwight Moore DeLong, and Charles A. Triplehorn. An Introduction to the Study of Insects. Philadelphia: Saunders College Pub ( 7th edition). this is a very useful book.

There are many keys leading to order particularly insect adults.The most important onr is that of Borror et al." Borror, Donald J., Dwight Moore DeLong, and Charles A. Triplehorn. An Introduction to the Study of Insects ".

In addition to the previous statements ,there is a simple guide UK book named " Field Guide to Insects " .