An easy way is to start with the motherboard first. That's the main component. Determine you want to go with Intel or AMD. ATX is most common form factor and has the most features. Once you know what you want to go with, then look up compatible CPUs that goes with that motherboard. Usually the motherboard specifications will tell you what processor and socket they support, making purchase on a CPU easy.
Most motherboards these days have 24, +4 additional pins for power. The 4 pin socket is used to power the CPU. You'll see it on the motherboard. When you get a power supply, most likely it will support a majority of the motherboards. It's just a matter of power requirements you have to look at due to various components you plan on installing after that.
Then from that point on, you get RAM, case, hard drive, video card, sound card (if you don't plan on using the onboard sound), DVD burner, etc.