The Real War 1914-1918 by B. H. Liddell Hart
Above would be my recommendations for a single-volume approach to the entire war. I'm just finishing a very interesting book on the events preceding the war and the diplomatic breakdown:
The Sleepwalkers: How Europe Went To War In 1914 by Christopher Clark
- not, probably, what you're looking for but there's a lot of information in it I haven't found anywhere else.
Good luck!
Actually, I am interested in what led up to the war as well as the war itself. Thank you.