We report on the results of a number of infrared spectra (0.8-2.5, 2.1-4.6, and 3-14 m) of V838 Monocerotis, taken from a short time after discovery in 2002 January to about 14 months later, in early 2003. The spectrum evolved dramatically, changing from a quasi-photospheric stellar spectrum with weak atomic emission lines (some with P Cygni profiles) to one showing a wide range of deep absorption features indicative of a cool, extended atmosphere with a circumstellar dust shell. The early spectra showed lines of s-process elements, such as Sr ii and Ba i. The later spectra showed absorption by gaseous H 2 O, CO, AlO, TiO, SiO, SO 2 , OH, VO, and SH, as well as a complex of emission near 10 m reminiscent of silicate emission, with a central absorbing feature at 10:3 m. Thus, V838 Mon appears to be oxygen-rich. A simple, spherically symmetric model of the system involving a central star with a two-component expanding circumstellar shell is presented that is able to explain the major molecular features and spectral energy distribution in the object's late stages. The derived shell mass and distance are 0.04 M and 9.2 kpc, respectively.