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Dear Chadan - there is a museum in Bishop's Stortford (birthplace of Cecil Rhodes) located in the old Rhodes' family home.  It was recently refurbished to be a general museum for the town, but originally there was a lot of emphasis on the life and exploits of Stortford's most famous son.  I would expect that the curator there should still be pretty clued up about everything to do with CR.  She should at least be able to recommend the best books/records for you to search. If you Google "Rhodes Museum" you will find the website and the curator's contact details.
Best wishes
AA