Umk...so...compatablity...right...i can do this (deep breath)
CPU to mobo
-AMD's CPU to mobo connector go by sockets #. The two main sockets numbers out there right now are skt 939 and 754 (the higher the number, the more recent). Skt 939 is faster, but more expensive, but judging by your price range, you should go skt 939. People say that AMD is better for games.
-Intel's CPU to mobo connector also go by sockets. The intel sockets are skt T, 370,479,479, and double Skt 603/604. I'm an AMD person, so anyone wanna help me out here? I think skt 603/604 is the most recent, and skt is the oldest. Generally the higher skt number the better. People say that Intel is better for word processing and movie editing.
PCIe, AGP, and PCI-
There are 3 major slots in your mobo. AGP (used mainly for graphics cards) PCIe (pci express, more recent than AGP, also used for graphics cards) and PCI (used for firewire cards, usb cards, wireless cards, and anything else that goes into your computer. I recommend a PCIe graphics card, and a mobo with 1 PCIe slot and 4 PCI slots. AGP still has life in it, but you have money to spend on PCIe.
Mobo -
You connect everything to your mobo, what can I say? They have AGP, PCIe, and PCI slots, SATA slots, IDE ports, USB, sometimes firewire, various DIMMs (the thing that you insert your RAM into) and a socket for your CPU.
RAM -
The main format of ram out right now is DDR ram, soon to be taken out by DDR2. SD RAM is dying, so don't buy that type. I recomment DDR ram, since AMD doesn't support DDR2 ram yet, and DDR ram is still cheaper than DDR2 ram.
Overclocking -
The process of making your computer faster. you shouldn't attempt it yet...This your first comp.
Hard drives -
PATA is more common, but SATA is the future. A normal user will use at least 40 gig, and that's without media or anything (including games). I'd get at least a 120 gig SATA drive.
DVD drives -
As long as you're not burning DVDs, it doesn't matter which drive you buy. Most drives will read everything you throw at them. However, if you are, there are 2 main formats - DVD-RW and DVD+RW. You can get drives that burn both. There is also the next gen format - dual and double layer - but that media's still $10 a pop, and Dual/Double Layer DVDs won't last long, they will soon get overtaken by blu-ray and HD DVD.
PSU -
Power supply unit. Get one that has 400+ watts.
Fans/cooling -
As long as you're not overclocking, stock stuff should be fine.
That's it...mostly. If I said anything wrong, give me a shout out, and i'll edit it.
One last tibit....this is your first computer, so don't try anything fancy. That should be your second computer.
My personal recommendation (Intel users, PLEASE don't flame me); and i don't have everything.
AMD 3200 or 3500 skt 939
160 gig HD
Case
1 gig DDR RAM
6600 GT PCIe
PCIe, skt 939 motherboard
500 watt PSU
+/- dvd burner