I am an advanced Pilates "person" and I am very confident that Windsor Pilates is by far, the best out there right now.
If you start with that, you will totally enjoy it and you'll see results, you won't believe it.
I still swear by the Winsor Pilates as well.
But I did go to an instructor for 4 years to learn the fundamentals first.
edit - not that you NEED 4 years of course! I just really enjoyed my instructor, until her prices started going through the roof b/c the interest in Pilates literally exploded in a few months.
Now, I use my tapes.