Buy a 600 watt powersupply, unless you buy a case that comes with one.
Buy a monitor, LCD or CRV (the ones with the big ends)
Buy a motherboard, look up AMD 64 Socket 939.
Buy a video card, look up nVidia, and ATi.
Buy a hard drive, look up hard drives
Buy a cdrom drive, put in cd/dvd rom drives
Buy a processor, look up AMD 64 Socket 939
Buy windows, or if you want linux go to www.debian.org
Look them all (besides the linkux part) up here: www.newegg.com
You screw the motherboard into the case via the screw holes.
You screw the powersupply,hard drives, and any other screwable items into the case.
You plug the power slots into anything that has one.
You plug the hard drive cables (the ones that are there when you open up the motherboard, they have three ends).
You make sure and read the installation manual that comes with the motherboard, and make sure you did everything correct.
Then you plug everything into the computer and the outlets and turn it on.
I'm assuming you want a great computer that will play games and other things, if you are building one.