i'll answer those questions 1 by 1.
1. You have to turn on your computer and then when it asks you for a CD then you put in your windows 7 dvd.
2. All of the parts for your computer will come with a cd that you use once windows is installed. this is the easiest part in building a computer.
3. Each processor has a specific socket that it can go into, and intel core i7-9xx can only go into an LGA 1366 socket and an AMD phenom II will fit into an AM3 or AM2+ socket. I would start by figuring out what processor you want and then building your computer around it.
4. A graphics card is completely independant from the processor, you can pick whatever processor you want and then pick whatever graphics card you want.
if you want then i could try putting a build together for you, all i need to know is what your budget is.