Make sure you plug in all the case wires before you do any other wireing, that makes it easier.
When you plug the powercords in, think first and make sure you're getting the cleanest route possible (just because it looks better, and could improve airflow).
You will probally have some trouble with the HFS, because they're a pain to attach, but after you put some strength into it - it will go on.
I'm not sure what parts you went with, but if you went with socket 939, there is a lever on the CPU heatsinc. Once you get the tabs in, make sure you push this downward. It feels like it will break, but it won't, just give it some force and it will go down and lock into place. I didn't want to break mine, and I really thought it was going to break.. so I left it up.. then I got CPU temps of 76*C at idle!! So make sure you push the lever down.
If you have trouble, read the section you are on in the manual. If you still don't get it, read it again. Keep reading it until it makes sense.