Good luck on your build man, but once you have all the hardware setup these are the steps, and you must to install OS before anything else.
1.Press the power button to turn the computer on
2.Enter bios setup, usually done by pressing (del) or sometimes (F2)
3. In bios setup look for "Boot order" or something similar to it. Then select your first boot device to your cd or dvd rom.
4.Save and quit, Usually done by pressing (F10)
5.When it restarts your xp installation cd will boot and you go through the steps and install your OS
6. Once your pc restarts and you see your windows desktop you're in the home stretch.
7.Then in windows install your motherboard drivers and software
8. Install all other driver software, i.e. Videocard, soundcard, USB devices, Internet card or adapter
That's pretty much the general guideline.