Once it's built and you have it up and running, just pop the OS CD into the drive, boot to the CD and install the OS. Once that's done, be sure to install the motherboard chipset drivers, video card drivers, and then any other drivers you'll need.
Yup. The motherboard, video card, and any other add in peripheral such as NICs and sound cards should have an installation CD containing any needed drivers and software.
You can also download the needed drivers from the manufacturer's websites.