Well, there is a lot to learn and a lot to think about before you dive right in.
My biggest question to you is this: What will you be using it for?
Second biggest question is: How much are you willing to spend?
Also, check out these videos by Newegg:
They are basically very detailed walkthroughs of "how to build a computer", from the planning phase, all to actually installing the components inside the computer case.
I recently just built my own computer using this guide, and I was a first time builder, and these videos helped me out a lot.
Oh, also, check out PassMark Software - CPU Benchmark Charts
This place compares CPU scores, and they have a video card section as well. I found it veryyy helpful in determining the difference between one CPU and another.
One of the most important things I can tell you is to wait and plan. It took me about three months before I actually bought the parts.
But yeah, first let us know what you will use the PC for, and what your price range is.