Here are more details about the aforementioned counterexample.
Let $\mathfrak{g} = \mathfrak{sl}_2 \times \mathfrak{sl}_2$ (over $\mathbb{C}$), and consider the representation $R : \mathfrak{g} \rightarrow \mathfrak{gl}_4$, $\left( \begin{pmatrix} a & b \\ c & -a \end{pmatrix}, \begin{pmatrix} d & e \\ f & -d \end{pmatrix} \right) \mapsto \begin{pmatrix} a+d & b & e & 0 \\ c & -a+d & 0 & e \\ f & 0 & a-d & b \\ 0 & f & c & -a-d \end{pmatrix}$.
You can check directly that it is a representation, but this follows from a general construction: if $R_1$ is a representation of $\mathfrak{g}_1$ and $R_2$ is a representation of $\mathfrak{g}_2$, there is a representation $R = R_1 \otimes R_2$ of $\mathfrak{g}_1 \times \mathfrak{g}_2$ (acting on the tensor product of the underlying vector spaces $V_1$ and $V_2$) given by $R(x_1,x_2) = R_1(x_1) \otimes \mathrm{Id}_{V_2} + \mathrm{Id}_{V_1} \otimes R_2(x_2)$.
Beware that there is also the notion of tensor product of two representations of the same Lie algebra.
The representation $R$ is clearly faithful, and it is not hard to show that it is irreducible (either directly in this case, are more generally show that $R_1 \otimes R_2$ is irreducible iff $R_1$ and $R_2$ are irreducible, by considering $R$ as a representation of $\mathfrak{g}_1$ and $\mathfrak{g}_2$ separately).
As to references, it depends on your profile. Are you more interested in physics or just the math? Do you want to study representations of Lie groups, or just Lie algebras (which is a prerequisite to the former)? Do you want to be thorough, or just understand the key facts of the theory in order to be able to apply it in particular cases? In any case, here are some references I know:
- Fulton, Harris, Representation Theory: A First Course (many examples)
- Bourbaki, Lie Groups and Lie algebras, chapter I (thorough, math, most of the basic things there is to know about nilpotent, solvable and semi-simple Lie algebras, but does not cover the classification of semi-simple Lie algebras or their representations: this is in chapters VI-IX. Read this only if you have time and love the subject)
- Serre, Complex Semisimple Lie Algebras (concise and clear, mainly about the classification of semi-simple Lie algebras and their representations)
The last one is the best IMO.
Best Answer
Subrepresentations of the adjoint representation just correspond to ideals of $\mathfrak{g}$. Since $\mathfrak{g}$ is simple, they are trivial or the whole Lie algebra. Hence the adjoint representation is irreducible.