For a first Timer, no guide will include everything, you will just have to figure it out as you go. But to answer your questions.
Sites, Im not sure but I can tell you through a generlization.
Entering the CMOS setup (Or BIOS as everyone calls it now) can be done by press one or two keys on the keyboard duiring Power On Self Test (POST), it is dependant on the motherboard manufactur, however it is usually F1 or Delete.
Technically you don't have to install anything after the OS is installed, but of course it is reccomended that you first install the motherboard drivers, all drivers on the included disk, Install video card drivers next along with anything relating to the moniter, Optical drives or additional PCI cards.
You can activate windows next and continue to install whatever programs or applications you need.
It is reccomeneded that you install an anti virus program and turn on the firewall before connecting to the internet for windows update and other program updates.
As for the thermal paste, there are two methods basically. The dot and line methods.
The Dot method, Place a Cooked white rice sized grain of thermal paste at the exact center of the CPU, then clamp down and secure the heatsink. The heatsink will do all the spreading.
The line Method, make a small line through the center of the CPU, then secure the heatsink. The heatsink will spread the Thermal paste.
You should make the line slightly thicker than that.. But it gets the point acrossed, I have always used the Dot method...
And yes, Thermal Paste is required.. Always.