First off welcome.
Second, that is a pretty broad question. There are a lot of things to do once it's together. First and foremost, are you 100% positive all the parts are compatible? Just because it fit's doesn't always mean it will work. Start off with your motherboard. You need to see what kind of memory it takes, how much and at what frequency. Then you need to make sure your processor (Which also needs to be compatible with your MoBo) can support that frequency lest you end up with many BSD's and I can tell you from experience... figuring that out is
Once you get that figured out, you need to make sure all your memory timings in BIOS are correct, if not... you guessed it... More BSD's. You can look online at any MoBo you want to buy and it will list in detail what RAM and what processors will work. Make sure your boot drive is plugged into SATA 1 or 2. I figured that out the hard way. Update all your drivers and don't just use the disc, go online and get them. I'm sure there is more, but those are the issues I ran into. I have it all figured out now and stable.
A monkey can build a computer... getting it to work correctly is the hard part. Good luck.