This is a translation of a series of dialogues between King Milinda and Nagasena, a Buddhist scholar. The Questions of King Milinda deals with some of the thorniest questions of Buddhism, religion and existence. The narrative proceeds in a cyclical fashion as the King proposes a difficult question of Nagasena, who responds typically with either a tale about the Buddha in some previous life, or an analogy. The book represents Southern Buddhism at an advanced stage of development. While difficult questions are addressed here, Milinda makes fascinating reading, as many of the issues are common to all religions.
These volumes were reprinted by Dover publications in 1963; unfortunately the Dover edition is now out of print; you may be able to find used copies, however.
The Questions of King Milinda, Part I
Sacred Books of the East, Volume 35 
The Questions of King Milinda, Part II
Sacred Books of the East, Volume 36