If you weren't ready to do it, you shouldn't be doing it. Starting first and learning how later is not how to do it.
That being said, you're moving a little too fast. Install the CPU on the motherboard. Intall the CPU Heatsink/fan on the motherboard. Intall the RAM on the motherboard. Install the PCU into the case. Install the motherboard into the case. Plug in the 4pin 12v power connecter from the PSU to the motherboard. Then plug in the 24 pin power connecter from the PSU to the motherboard. Plug in the PSU to an outlet and turn the PSU on, check for the green LED to be lit on the motherboard. If it does, turn the PSU off. Then connect the wires from the front of the case to the motherboard including the power button conneections. After that, turn on the PSU, then power on the computer, the fan on the CPU heatsink should start to run and not turn off. Hold the power button for 5 seconds till eveything shuts down, then turn off the PSU.
Start with that. There should be a manual that came with your motherboard which had detail instructions, or if you're are on the net, which you obviously are, there are plenty of guide you can find to walk you through this.
The next thing you would want to install is the video card, or in this case connect a monitor to the onboard video, power on the pc and see if the motherboard bios shows up. At that point you're good to go. Just keep adding more parts, hard drive, optical drives, checking the bios to see if each component is showing up in the system. And again, your mother board should have come with a manual. READ that before you do any of this, then read it again while you're putting it together.