i got the best magazine for that...It's by Maximum PC and it's called Build the Perfect PC, it shows you step by step and it compares the best components.
But just like how Dishdog said, you need to just try it. I have a cousin who researched pc parts for a month, then bought it all off newegg and in one night he built a computer without ever reading about it. Took him from 10pm to 9 am...lol