But before spending any money, look these lists of information sources and then decide:
http://www.washingtonresearchers.com/public/publications/premium-private.htm l
http://www.corp-research.org/archives/nov00.htm
The second link makes an interesting point, some privately held companies sometimes issue bonds or other debt instruments so there may be SEC filings related to that, and that would be a source of financial information about the firm.