I think everyone initially has trouble with nursing exams. They're not like traditional exams (like how most questions have several correct answers and you have to pick the MOST correct one).
In my opinion, this is very silly and not representative of critical thinking (unless you count forming an argument of why you think another answer should be the correct one). I really don't know of any books you can find on critical thinking - it's really something you develop over time with experience - even after you become a nurse.
Pretty soon you'll start catching on to what the teachers are looking for - even if you don't personally agree with their answer. Just wait until you take the NCLEX - now there are some ridiculous questions. You'll learn what the correct answer is according to NCLEX, vs. what is done in the real world.
Some good tips on nursing testing - learn what the priorities are. Study Maslow's Hierarchy of Needs, in which you focus on the most crucial physical needs first (like the ABC's: airway, breathing & circulation), and then psychosocial and comfort care are at the top, least important spot (although we all know that these are very important too). It might be too soon now this early in your studies and it may be confusing with your school lectures/text books, but eventually think about getting an NCLEX review book in which they discuss how to prioritize nursing interventions.
Another thing that helped me - studying material that's written for the non-medical population. Sometimes my instructors had been nurses for so long, they had a hard time explaining things from the basics. So, I would go to google or kidshealth.org or webmd to get a good general explaination, as I was learning it for the first time.
Lastly, get a good medical dictionary - my Tabor's medical dictionary saved me in nursing school
. You could quickly find a general explanation for things.
Good luck - and remember life as a real nurse is totally different than nursing school. Sometimes the best nurses are the ones who didn't have the highest grades. Common sense, people skills and the right attitude play a huge role in being a good nurse. Many of the students with book smarts turn out to not have the best bedside skills and can miss important things with a patient. You'll do fine. It's just very early in your career.