There is always a first time. As I keep telling people I work with, the trick is to take your time. You said that you already checked with compatibility now do some research on putting it together. There are plenty of sites (including manufaturer's sites) which will give you detailed instructions and pictures as to how to do it. If this is your first build, try to get somebody with a little knowhow, if you can't, look at your old system and see how it is built up.
Make sure you are in a safe electrostatic free environment (ground yourself by touching the kitchen sink and the case). Your mother board should be on a static free hard place, static bag in which it comes works great.
Install everything you can on your MOBO before installing your MOBO in your case (Memory, CPU, heatsink and fan).
Install your MOBO in your case and use all the little spacers they give you to give it rigidity when you install the other parts.
Study your MOBO diagram carefully. The LED's wires will have different locations depending on the make and model for example.
Install your video card, CD/DVD, hard drive and PS.
I usually install only the strict minimum first (PS' CPU, memory and video card) and boot up to see if it goes through the POST (Power On Self-Test). If not, listen carefully for beeps. They might tell you what is wrong (e.g. 2 beeps might mean bad memory).
If there is a problem, check for proper connection if not, carry on with HDD, CD/DVD.
Enter BIOS and make sure that the boot select order is either your floppy for boot disk or your CD for bootable CD (such as XP) before the HDD.
Follow the instructions and you're done.
Try not to get any OEM pieces as they often lack cables and such. Go with retail (boxed items vs bubble wrapped items).
Good luck and let us know how it turns out.