Does FRM give you books like CFA?

No. You need to buy the books separately. You can buy them at the GARP Digital Library.

GARP has a concept of core readings for FRM for which they have a collection of chapters of different books and some research papers / other papers etc.

Some of these might be availaible free of cost at GDL (Garp Digital Library) - others are available piecemeal and also bundled together as Core Readings and sold through GDL.

You have a choice to purchase the complete set or chapter wise if you already have some of the books and prefer to purchase only the remaining chapters.