Building a computer is a snap, and a worthwhile learning experience to boot!
The beauty about PCs, unlike MAC (insert flame comments), is that it's modular. As long as you keep that in mind everything works like a charm.
Motherboard, CPU, RAM, Hard Drive, Power Supply, Cooling Fan(s), Optical Drive, and Graphics Card is all you need to get a computer up and running - in reality you don't even need a case, but it's a good idea. Using the manual that came with the motherboard you can find where you stick the RAM, Graphics Card, and Connect the Hard drives. The power supply is pretty straightforward as well. If you get lost read the manual.
To be honest, you can dumbass your way through building a computer with little harm. Just make sure you discharge any static electricity by touching the steel edges of the case frequently and before you touch any cards/ram/cpu/motherboard/harddrives. And make sure all of your components are compatible with each other... i.e. AMD motherboards need AMD chips... You'll know the chipset because it gives you a chipset number like 939, etc... so the CPU you want would be one that is compatible with a 939 mobo, and so on.
When you go to boot up for the first time get ready to experience the joys of BIOS, and have an operating system CD ready to go.
I probably oversimplified the process a bit, but in general, so long as you do a little self-research on the parts you want to buy before you buy - and feel free to ask LOTS of questions here - you'll come out alright.