Here are available documents and links for the course.
The principle of the large sieve
This is the original preprint version of the
book below, available on arXiv:math.NT/0610021.
It is much shorter, in great part because a lot of background
information is not there, but also because some of the
applications are not described. This version was not updated
as the book progressed, so a number of mistakes are still
there which are corrected in the book (e.g.,it is mistakenly
assumed that Sp(4,Z/2Z) is a perfect
group, which it is not).
The large sieve and its applications
To appear as Cambridge Tract in Mathematics 175, 2008; draft PDF version (D-MATH intranet access only).
The large sieve inequalities
This is a guest post on T. Tao's blog
describing the general sieve framework.
The analytic principle of the large sieve, by H.L. Montgomery
This is an excellent survey article concerning the "classical" history of the large sieve inequality, which is available online.
Lectures on sieves
These lecture notes by D.R. Heath-Brown are very good expositions of the classical aspects of sieve theory.
On variants of the larger sieve
This paper of E.S. Croot and C. Elsholtz discusses the "larger" sieve of Gallagher, which is not as well-known as other sieve inequalities, but can be strikingly efficient.