When youve decided what you want, (proccessor, motherboard, graphics card...) you start to buy! My build is coming on really, really slowly because I get paid every 2 weeks! But as you can see in my signature Ive bought my case and PSU.
I reccomend you start buying your case and PSU becasue this is where you can start to build. You then move on to your motherboard and then carry on buying the bits from there!
If you want a gaming computer, you want a socket 939 motherboard which will support the AMD athlons, which can range from £100-£500. The socket 939 is good because you'll be able to keep upgrading it for ages yet.
Im also getting a PCI-express graphics card and motherboard becasue ive fallen in love with the MSI 6600 gt! Which is only £113!
Well good luck and happy building!
Any other question dont hesitate to ask!