Building your own PC is surprisingly very very easy. It may look intimidating when you first look inside and see all the wires and circuit boards everywhere, but it's really quite simple. All of the components are keyed and notched to only fit one way, so you can't do it wrong really.
Here's a really fast walkthrough to building a PC.
First, take the motherboard out of the box, and out of the anti-static wrap. Place the motherboard ontop of the cardboard box it came in. Open the CPU socket via the small arm that opens up. Make sure it is fully open. If there is any plastic covers in the socket, remove them now (usually Intel boards come with little plastic covers in there...make sure you don't lose it though, they're handy if you ever want to store the board). Now open the CPU package and remove the CPU. Make sure you only hold the CPU by the very edge or corners, and DON'T touch the pins on the bottom. You will notice on one corner of the CPU, there will be an arrow. On the CPU socket on the motherboard, there is also an arrow. Line these corners up and then very carefully place the CPU into the socket. No force is required to put the CPU in. In case of an AMD (which have pins on the bottom of the CPU) sometimes you have to wiggle it very slightly before it will drop in. If you find you have to push at all to get it in, it is lined up wrong. In case of Intel, the pins are in the CPU socket, these should go in much easier than AMD. Once the CPU is seated properly, close the retention arm and lock it firmly into place.
Now it is time for the heatsink. Both AMD and Intel coolers are quite easy to install, but they are different so I'll go over both. For AMD, remove the little plastic cover off the bottom of the heatsink. Make sure you don't touch the grey square in the middle with anything, this is called thermal grease. It makes the thermal transfer between the CPU and the heatsink much more efficient. So, you'll notice there are two little arms with notches on the heatsink. You'll also notice there are two clips on the bracket surrounding the CPU socket. Place the heatsink in the center of the CPU and line up these arms with the notches. If you can, try to line it up as best you can before you place it onto the CPU to avoid smearing the thermal grease everywhere. Get the notch without the plastic arm on it into place first, and then push down on the other side. Once both metal clips are locked into the plastic notches, flip the plastic arm all the way down. It may feel really resistant, but it will go - don't worry.
For Intel, take the heatsink and remove the plastic from the bottom. Again, don't touch the thermal grease. Place the heatsink over the center of the CPU, taking care to line up the four pins with the four holes. Now just push the pins down into the holes. It's easier if you do them in the following pattern:
1 4
3 2
They may feel very hard to push, but just push...you won't break anything.
Once your heatsink is installed, make sure to plug the fan wire into one of the 4-pin fan headers on the motherboard. Refer to the motherboard install manual if you can't find them.
Now it's time for your RAM. I will assume you have two modules of RAM. Open the holding clips on the memory DIMM's on the motherboard and place a RAM module into the slot. Notice there is a notch cut out of the bottom of the RAM, and there is a little divider inside the DIMM on the motherboard. Line these up, it will only go one way. You will need a bit of force to firmly seat the RAM. You know it is seated properly when you hear a click on each side and the clips return to their locked position. Make sure they are locked by pushing on them. Repeat for the other stick of RAM.
Now you can prep your case for the install of the motherboard. First, punch out the stock I/O plate from the back of the case. The I/O plate is the thing in the rectangle hole that has port holes, like for keyboards and video and what not. Your motherboard will come with one, put that in its place. Now, your case should have come with a little baggy of screws. Make sure you get the little brass standoffs out. You'll notice the motherboard plate on the case has threaded holes. Screw the brass standoffs into these holes, making sure you only put them where they are holes on the motherboard. If you need to, lower the motherboard into the case in the position it would go to see which holes need standoffs. Make sure the standoffs are tight with pliers or with a small wrench.
Now, lower the motherboard into place and make sure the holes are lined up with the standoffs. Find the small screws that came with your case to secure the motherboard down. Now look in the motherboard manual for the front panel connectors. These are a little tricky on your first time, so just make sure you read the manual. Basically you are just hooking up the small wires for the case power lights, power/reset button, and hard drive lights to the motherboard. There is a small set of pins usually in the lower right where these go. Refer to the manual to see which wires go to which pins.
Now it's time to install the power supply. You'll notice a large rectangular hole cut out of the case (sometimes on the top-back, sometimes on the bottom-back). This is where the power supply goes. Line up the holes and screw it in (four screws). Untangle your wires for easy working. Plug the biggest one (20 or 24 pins) into the appropriate spot on the motherboard. There will also probably be a 4 pin or 8 pin plug for the motherboard as well, make sure you plug that in. Note that all the power connectors only go one way and only the right plug will fit, so you can't mess it up.
Now install your hard drive and optical drive. The hard drive goes in bottom right of the case. You will see several slots where it will go, just slide it in and then screw it in. If you have an IDE hard drive, you'll want to first make sure the jumpers are set properly - probably to Master or Cable Select. If you have a SATA, you need not worry about jumpers. Plug the appropriate data cable into the back of the hard drive (be it IDE or SATA) and then the other end to the appropriate spot on the motherboard. If your hard drive is IDE, find a 4-pin molex plug on the power supply and plug it into the back. If your hard drive is SATA, find a SATA power connector on the power supply - these are the really thin narrow ones, similar to the SATA data cable.
The optical drive goes in the top of the case, above the hard drives. Follow the same procedure as with the hard drive. Note that you usually have to remove one of the plastic spacers from the front of the case. Usually that can be done by pushing from inside the case outward.
If you have a dedicated video card, install that now. Remove a spacer from the back of the case where the video card will go, and then push it into the PCIe or PCI slot on the motherboard. This requires slight pressure to ensure it is firmly seated. Screw the bracket into the back of the case.
Now install any extra case fans if you have them, plug them into power, and YOU'RE DONE!
If you're really new you might not know any of the terminology, but I think there's a thread around here somewhere for that....
Good luck.
EDIT: Oh, btw... <<<< extremely bored.