We carry out fully 3-dimensional simulations of evolution from self-similar, spherically symmetric linear perturbations of a Cold Dark Matter dominated Einstein-de Sitter universe. As a result of the radial orbit instability, the haloes which grow from such initial conditions are triaxial with major-to-minor axis ratios of order 3:1. They nevertheless grow approximately self-similarly in time. In all cases they have power-law density profiles and near-constant velocity anisotropy in their inner regions. Both the power-law index and the value of the velocity anisotropy depend on the similarity index of the initial conditions, the former as expected from simple scaling arguments. Halo structure is thus not "universal" but remembers the initial conditions. On larger scales the density and anisotropy profiles show two characteristic scales, corresponding to particles at first pericentre and at first apocentre after infall. They are well approximated by the NFW model only for one value of the similarity index. In contrast, at all radii within the outer caustic the pseudo phase-space density can be fit by a single power law with an index which depends only very weakly on the similarity index of the initial conditions. This behaviour is very similar to that found for haloes formed from LCDM initial conditions and so can be considered approximately universal.