Like most other people have said, essentially, it's easy when you know how!
The advice about finding yourself a small friendly computer shop is good. With my first build (about 3 years and 14 builds ago!), I put it all together (easy), booted into the BIOS, and my hard drive wasn't detected. I couldn't work it out (or I didn't look hard enough for the answer!), so I took it to a local place that charges £25 per half hour(!) and I asked them to take a look, but only spend half an hour on it as I didn't have too much cash at the time.
They called me three hours later, having installed XP (i gave them my CD and serial) and configured everything and when I went to pick it up, the guy explained exactly what he'd done and what i'd done wrong (left the hdd jumper on slave!!), and said if I needed any more help, give him a ring.
Simple things catch you out, but use this forum. The guys here are uber-tech-heads, and they're really helpful....