Building your own pc is actually quite easy. After you do it once its a piece of cake. Your best bet is to get your cpu from clubit (if you get a q6600) and then just use Google Product Search
to find the other parts. Newegg is a good bet for most of the parts though.
Building a pc is basically just a few steps.
1) open case
2) insert power supply
3) mount motherboard
4) mount hard drives/optical drives
5) install memory on mother board
6) install cpu on motherboard
7) install heatsink on cpu
8) plug in power to everything
9) turn on and install windows