you should go to www.newegg.com and look there for parts your wanting. If your starting completely from scratch without even a case, then no $400 will not get you what your looking for imo. It may be possible, but honestly you will have to check for yourself because you know what your looking for
Yes you can build a system for around $400 with 4GB DDR2 667mhz, Pentium Dual Core 2.5ghz, Nvidia 8200 256mb pci express card, DVD RW, Windows XP Home(or Vista) Thats off of newegg been building them lately for some companies . Its no beast, but better than what you'll get at bestbuy for $400
The cpu is an AM3 and your board does only AM2. I prefer intel, but correct that issue and that should work. Make sure the board supports ddr2 1066 also. The one you picked did, but only with an AM2 cpu.