Check out this site for building gaming computers at different amounts of $$.
http://www.hardware-revolution.com/budget-gaming-pc/
I used a good deal of components of the $400 system and my PC screams!
As far as where to begin, you can look up tutorial videos on youtube. There are bunch of different vids that can show you exact steps to take and tips. Just do searches for things like:
install a motherboard
install a power supply (or PSU)
build computer tutorial