Primary sources in Classics are the literary works (poems, plays, and histories, for example), and artifacts (pottery, coins and sculptures, for example) and other materials from the ancient world.
The Loeb Classical Library is a respected modern collection of Greek and Roman literature. Each volume contains the Greek or Latin text on one page with the English translation on the opposite page.
Penguin and Oxford (World's Classics) also publish good translations of the most popular ancient authors and their well know works. In the library catalgoue try a keyword search with the name of an ancient author and the word penguin or oxford world's classics. For example, thucydides and penguin.
When trying to locate primary sources for your research think about the ancient authors you have studied in class, read your textbook, class notes and examine your course outline.