I know of a shop in West Texas that will for free walk you through building your own machine and help you assemble as well as teach you about the machine you are building. There are other shops around so you want to look around for a similer computer store.
Depnding on your level of knowledge and sense of adventure you can start with a bare bones kit or start from scratch. What a bare bones kit does is get you the Motherboard, ram and case at a min already put together. Sometimes even burned in for you. This is a nice short cut through what are the most perilous parts of building a computer. It does tend to be slightly more expensive assuming you make no mistakes when building from scratch. It also limits you to MB, CPU, case combinations that already exist.
From scratch what you do is decide first on your needs. Do you have old ISA cards that you need to support? If that is the case your MB will be a big restriction as few MBs still sport ISA slots. How many cards do you need? Will you use IDE, SATA, SCSI or a cobination or even and IDE raid? Is this a server or desktop that you are building? What are you going to be running on it?
Basically the heavier you will tax a system the more RAM and faster the CPU you will need. A gaming system or a server that will be in heavy use for example are machines you want to buy upper end CPUs for. If you are building and going to be bragging about your new machine then you'll want to use a high end CPU. If all your doing is visiting the web, reading email and such go with the cheapest CPU out there. No reason to spend the extra money when you'll see zero performance difference.
Once you know how many CPUs and how fast you need you can decide on the chip brand. This might be decided by the MB you really want. For example raid support with lots of PCI might be availible only through a Intel or AMD specific MB. It is crucial to get a MB that supports your chip. Few out there today will support both AMD and Intel. Something that has changed over the last five years. Used to be you just changed a jumper to make an MB set up for one of 3 or 4 chip makers.
Also make sure of USB support on your MB. A really cheap MB will have poor USB support and you'll regret buying it down the road.
If your building a really high end machine RAM will be a consideration in what MB you choose. Most machines the quanity is really what is important. Unless you are running bleeding edge games or a really heavily loaded server a few milliseconds is meaningless in real life performance. Having 2 gigs of slower ram rather than 1 gig of faster ram will make a huge performance improvement if you are actually using the machine much. 500 megs is the bare essential min of RAM to get today and I really strongly recomend at least a gig.
With RAM types there is a second trade off. Most MBs are compatable with only a few RAM types today. Often you have to have RAM of at least a certain speed. Sometimes if you buy into a standard that doesn't last long your stuck with the ram you bought. Too difficult to get RAM of that type a year down the road. Most of the time if you buy lots of RAM your fine for the life of your computer. I'd advise buying the most common RAM availible. It's usually relitively inexpensive and plenty fast for %99 of the people out there. Quanity rather than speed is again the important consideration. Most people who get stuck with RAM bought the latest greatest which never really caught on.
Now you have an MB, a chip and RAM. You need a case that supports that MB. Make sure yoru MB type (you'll find it on the MB box) is supported for that case. Most better cases will support all major MB types out at that time and those made in recent years. Make sure your case has decent power. One problem is buying the cheapest case out there and finding out that you've overloaded it's puny power supply.
Next look at how many power connectors it has. Will it be enough to power all the devices you want to put in the machine? If not you can usually buy splitters which work fine as long as the power supply itself is a good one. In the way of cases AMDs run hot. I mean really hot. They will give you better performance at a lower cost than Intel chips but you will eat up some of those savings buying extra fans and a much stronger CPU fas as well as buying a case that has much better cooling. No cheapo cases for an AMD if you want the chip to live very long.
Next you want to select your components. That is sound card, CDroms, etc. Today floppies are all but obsolete but they are also dirt cheap and when you need one you REALLY need one so I strongly advise putting a floppy in the machine. Most people will want two CDroms. You can exist with only one but life is easier with two. CDrom readers and even reguler burners are cheap enough that it just makes sense to put two in. You want a hard drive. As tempting as it might be to put two in, unless your doing a raid array you can wait six months and get a drive considerably bigger than your current one for less. So best to just add it in when you need it. Another exception is if you are dual booting. Then you want two hard drives.
What kind of sound and video you need depends on what you will do. If you are playing games get a high end sound card. If you are a musician get a really good sound card, not a games sound card. You want one that supports MIDI, S/DIF and similer functions. Lots of in and out ports. Some today will even have preamps and 1/4 inch inputs. Video is usually a minor factor unless you are a graphics artist, games player or another proffession that really pushes their video. Many developers will quickly notice a difference in a good vid card and a bad one because they often run at really high end vid modes. What you find built into a MB will not suffice for these tasks. For somebody who just uses the machine for common tasks you can probably go with a built in Vid and sound card and be fine.
You want at least a burner. Realistically you want a DVD burner that supports multiple formats. They are reasonably priced nowdays and is something you will deffinitely use. If not a burner at least get a CDRom that can read DVDs. Having two is really usefull, you can grab a cheap normal CDRom for most purposes as your main CD and a DVD reader and or burner for your secondary drive. No point wearing out the DVD drive with mundane tasks at this time. A few years from now every CDrom will have DVD support.
Most of the rest is taste and need. Many MBs come with sound and video built onto the chip. I personally usually try to steer away from them because they can be a real pain to disable and are usually pretty poor quality. If you are playing high end games deffinitely avoid on board sound and video. It is only going to eventually bite you.
Now you are ready to assemble. All the parts bought and paid for. First thing is quit shuffeling your feet. Static electricity is a huge danger to computer hardware. Put your parts on a good stable table or work bench which is away from sources of heat, cold, moisture, magnatism (tvs, speakers, microwaves, anything electronic nowdays).
TOUCH YOUR CASE OR OTHER GROUNDED METAL BEFORE TOUCHING ANY COMPUTER PARTS EVERY TIME. This makes sure you discharge any static electricity. This is really important.
First thing is putting your CPU into the MB. Line up the arrow with pin 1 on the MB. A good MB in it's docs will have a good pic of where pin 1 is. It will also be denoted by a dot or arrow. Usually it's the right hand bottom corner but not always and what is bottom right hand depends on perspective. I like to work with the MB oriented like it will be sitting in the machine.
You'll need the goo which often comes with the CPU and the heatskink/fan. If your using AMD invest in the good goo. It might save your CPU one day. Smear it on according to instructions. Seat the heat sink on the good imediately. It should make good contact with the CPU. If there is any gap or the heat sink is not securely attached to the CPU you'll burn up your CPU in a hurry.
Insert your RAM chips next. Read the MB instructions but most of the time you want to put at least one chip in bank 0. If you have more than one chip read the MB docs to make sure where the second chip needs to be.
Align the chip, the chip will only go in the slot one way. There is a notch in the RAm. Eeasy to tell if that notch is lined up with the ridge. If it isn't turn the RAM around so that it is. Then push down gently but firmly. You will be rewarded by the end clasps locking down on the chip. Make sure all of the chip is all the way in the slot. If you have more than one chip run your finger along them to make sure they both sit at the exact smae levle,ll all the way accross.
Now that you ahve a MB with a CPU in it you want to put it in the case. Cases vary so much it's really hard to tell you how it will be fastened. Most cases will come apart so that you can mount the NB and then put it into the machine. hook up our power. Today you can't hook it up wrong with most MBs. In olden days this was a big problem as it was easy to get the two power slots backwwards. All would seem fine until you hit the power and fried your MB. New ones are notched so there is only one way they will go on the MB.
You have to next connect the power switch from the case to the MB. You might connect the others, but the power is the only essential one at this point. Actually it's better to leave the rest unconnected as it is just something that can go wrong. Most of the time the connectors are labeled from the case. Power will be pwr but not always and you might have to consult the case documentation. Make sure to use the MB's documentation to make sure you put the right cable on the right pin.
Now hook up a keyboard and video card. You want to make sure what you have so far is working fine before adding any other component. So turn on the computer. Make sure you have video. That there are no errors. The machine of course will not boot yet. If you have a problem now you know it's related to one of your basic components. With luck if you get no video first make sure the monitor is on. Check your cables. Make sure your using the right video out. Switch the monitor to the other if you have multiples and see if you get video there. If not power down and reseat the ram and double check your docs. Make sure that the ram is in the right slots. Power back on. If you still have a problem then you have a major problem. Attach the connect for the speaker and see how many beeps are emited. You can search on the web for the bios code and possibly get a clue as to which component has failed.
Once you get video and an error free boot at least until it tells you that it cannot find any drive to boot off of you are ready to continue assembling the machine. I'd suggest putting the rest of the connectors from the case to the MB as the next step. Put them where they go and power on the machine. Make sure all is good and that all of the connectors function as described such as the reset switch actually resetting the machine.
Power down. Start adding drives next. The floppy will be easy. Floppy cables are smaller than HD cables and it will go in the slot called FD0. Most cables and conenctors today are notched so you cannot put them in wrong. If you get one that isn't the red line indicates pin 1 on the cable. The drive will ahve small numbers beside it which indicate which is pin 1. In the last several years it's almost always the pin closest to the power connector. Make sure the cable goes into the drive with the red stripe on the same side as pin 1 and the same when you connect it to the MB. Make CERTAIN that the cable is in there snuggly. If you have it half on you can actually arc from the pins. Be carefull you do not bend pins however. A major factor for me in case selection is how much room I have to get in and work on a machine. If you bought a cramped case you'll quickly see why this is important to me. Especially if you have big hands.
Next add your CDrom or Hardrives. If you are going to use Windoze it is important that you don't put both CDroms on the same IDE channel. This will cause performance problems and sometimes even cause toasters. If the cable that came with the case does not allow you to put a HD and A CD on the same cable buy a new longer cable instead of hooking CDroms up on same cable. If you are using another OS don't worry about it. I've had CDroms hooked up on the same cable for years without a problem using Linux.
What you also need to be careful of is that you have the devices jumpered correctly. Today most devices will come with jumpered cable select as teh default and will be jumpered so. Many times this will work great and you need not do anything else. Many times however certain devices will not work and play well together unless you jumper them. The first device, that is the device on the end of the cable is the Master device. Jumper it to be Master, jumper the other device to be slave.
The jumpers are located on the back of the device. They are little tiny pins with normally a black or white peice of plastic. Underneath the device you will see little letters that describe where to place the jumper to assign master/slave. If you jumper incorrectly at worst the machine will not boot. Often you will not get video at all. It will not damage anything. Just power down and rejumper until you make all the devices happy.
Once you get the drives working you want to install your extras. Sound cards, nic cards, modems and the rest of your devices. Do this before you install your OS. With the cards usually all will go well as long as you have them in there snuggly and have not destroyed them with static electricity.
Reboot, make sure all is well. If it is then you can install your OS.
Hope this helps. Do a search on building computers, installing computer components to find visual images of the installation and to shore up anything that I and others here have said which was confusing.