The absolute best source for tracing the etymology of words (how their meaning has evolved over time) is the Oxford English Dictionary. The OED is the accepted authority on the evolution of the English language over the last millennium. It contains the meaning, history, and pronunciation of over 500,000 words both past and present. It also traces the usage of words through 2.5 million quotations form a wide range of international English language sources, from classic literature and specialist periodicals to films scripts and cook books.
The OED is a 20-volume set and is shelved next to the Information Desk at Haselwood Library.
Researching historical references takes a little more detective work. For instance, the name Don Carlos appears frequently in the Spanish royal family. According to Wikipedia, Don Carlos of Spain may refer to eleven different individuals (none of whom is the Don Carlos Thoreau is referring to!). It will save you a lot of time and frustration to read an annotated edition of Walden first so you don't go down research dead ends.
Once you have found the correct person or event you can use history books for further information, The following is a small selection of what is available in the collection of the Olympic College Libraries. These titles are all shelved on the 2nd floor of Haselwood Library.
Baron, Simon. A History of Spain. New York: Palgrave Macmillian, 2004. 946 Ba285h
Kitchen, Martin. The Cambridge Illustrated History of Germany. Cambridge: Cambridge University Press, 1996. 943 Ki647c
Ringrose, David R. Spain, Europe, and the "Spanish Miracle", 1700-1900. Cambridge: Cambridge University Press, 1996.
Sheehan, James J. German History, 1770-1866. Oxford: Oxford University Press, 1989. 943 Sh35g
Turk, Eleanor L. The History of Germany. Westport, Conn.: Greenwood Press, 1999. 943 Tu847h
Most of the books by and about Henry David Thoreau are in the Dewey Decimal Classification number 818.31 Th391. They can be found on the 2nd floor of Haselwood Library.