Well, it depends on the case design.
If its well made, you can take out a motherboard tray, connect the motherboard to it, add the parts, and then slot the tray in, locking it into place.
There are a few cases which can be funny though where the PSU won't go in if you dont add the motherboard first, so also check how the PSU is fitted. If its positioned above where the motherboard will go, your fine.
You'll be able to see what type of case you have, simply by looking inside. If it has some clips connected to something that looks rather like a tray, then its okay to take this off and add the parts first.
Whatever you do though, protect yourself from static, okay? Theres nothing worse than killing your components just because you hadn't earthed yourself.
AntiStatic bracelets which are cheap is one way, and plugs into a wall socket to earth you, or some people touch radiators every 5 minutes or so, or plug the PSU in to the PC, and the case should earth you.
I'd also advise not to build the system in a room with a carpet, where static is most likely going to be found.
First slot the CPU in to the desired slot on the motherboard. There is a corner missing off to help you position it right, and this should just push in nice and easy.
There will also be a sticker ontop of it which behind it is the thermal compound to help the cooling process. Simply take that off and you are now ready to place the heatsink and fan ontop.
AMD CPU heatsinks can be hard to fit, but the catch is simple once you get used to how it works. It should click into place without alot of force, but if you do have to, the chip is likely not going to get damaged as long as the Heatsink is positioned the right way (There is a guide with the manual of course), and so, this should be easy enough to fit too.
If you RAM is dual Channel compatable, inserting them in a specific way on the motherboard will turn this feature on. Usually its the 1st and 2nd slot, or in some its the 1st and 3rd slot. Check the manual
After it is all plugged in and all is go, everything should just install itself (Motherboard drivers, etc), except if your hard drive is SATA, in which case, before installing Windows, using the guided help it gives you, you'll have to place the SATA drivers in that should come with your motherboard before the hard drive can be installed to.
After that is done though, and Windows is installed, you'll be fine.
I'd check the BIOS though by pressing DEL at bootup to check that all settings, etc are correct to the way you want them, for example the onboard video chip is disabled, and the sound chip too if you ahve one plugged into a PCI port.
Other than that, your computer is all set to go
I hope this helps.