step 1 ground yourself (touch the power supply if you can't do anything esle)
step 2 install power supply into case
step 3 install cpu into mb
step 4 install heatsink onto cpu
step 5 install ram onto mb
step 6 mount hard drives and DVD roms
step 7 install mb into case
step 8 install video card
step 9 connect sata cables to drives (i hope you don't have IDE)
step 10 connect power to all components
step 11 power up the machine and install OS
throughout this process ensure you are properly grounded and in a work environment free from static electricity (should NOT be on carpet, or w/ animal fur everywhere, etc).
Hope this helps. If you need specifics just ask.