Well, I've said this before (lol) If you can install a video card, hard drive, CDROM, and upgrade your Ram. You can build your own computer.
Here, check out this link:
This is a buildout list of the system that I will be purchasing in the near future. There are only a few differences with my system itself than what you get with Alienware. The CPU on my system is a 2500+, and the min you can get with Alien is 2800+; and Alien uses Seagate drives exclusively, whereas I prefer Maxtor. The final difference is the case. Alienware has a really nifty case and matching mouse and keyboard, but the Thermaltake that I am ordering is pretty cool too, and the logitec mouse and keyboard certainly match (everything is black).
Also, My system prices out at over $700 less than Alienware for almost EXACTLY the same components, AND my system price includes a 19" CRT monitor.
As to the specifics on building it yourself. Here's two links from Tom's Hardware (a GREAT information site) that walks you through the whole process.
Step 1: The Basics -
Step 2: Step by Step assembly walkthrough -
Have a good one.