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The process of building your own PC is physically simple (they were designed to be put together by uneducated workers ), but requires some knowledge or a set of good instructions. You are unlikely to find good instructions included with your motherboard or case - typically you get a poorly written booklet put together by someone for whom English was a second language. There are plenty of books out there on building your own PC, though, ranging from the "Dummy's guide" series to less insulting titles.
The dearth of good included documentation means you'll probably be more confident if you compensate by gathering a good amount of knowledge first. (eg. you should know that PC 2100 DDR memory is the same thing as "266 MHz DDR memory". You should know if you want to spend extra on new technologies like Serial ATA drives (which at this point in time seem to offer few benefits to offset their higher cost). And if you intend to use an alternative operating system, you'll need to know what hardware works well with it. (Apparently Via KT-400 motherboard chipsets still don't work well with some Linux distributions, for instance). Finally you need to have some idea of how to get into the motherboard BIOS and what those numerous settings mean, and how to install an operating system onto a bare hard drive.
If you frequent osnews.com, it's likely that you already have some or all of the knowledge you need.
By way of actual tools and materials, I suggest the following:
1) One phillips screwdriver
2) One pair of flat-tip tweezers for retrieving lost screws, placing tiny jumpers onto their pins, etc.
3) A way to keep static electricity from destroying your components. The official way to do this is to have a conductive rubber mat on top of your work surface, a conductive wrist-strap on your wrist, and ground both of these to a good electrical ground (eg. a water pipe). I have gotten by by covering my worktable with kitchen foil and grounding that, and ensuring that part of my body was always in contact with the foil to discharge any static build up on my person.
4) Some assorted PC hardware - screws in the most common two sizes used in PC cases, some standoffs, a few washers, etc. Chances are good that your case will not contain enough screws, etc to let you complete your project, and few things are more annoying than having to make a trip to the hardware store to get three screws before you can fire up your wonderful new PC.
Actual assembly is usually easy, consisting mostly of plugging tab A into slot B. The one exception is mounting the heatsink onto the CPU, which requires steady hands, a firm grip, and great care to avoid slipping and spearing your new motherboard with your heatsink mounting tool.
Before I built my first PC I got an old 486 (for free, donated by someone who had no further use for it) and practiced taking it apart and putting it back together. While newer PC components have very different electrical specs, the physical connectors, jumpers, memory slots, and other doohickeys on an old 486 are not very different from those on a new one, and gaining familiarity with the old parts will make it much easier to identify the new ones. If you know how to install a card in an ISA slot, you'll have no trouble installing a card in a PCI slot, and if you know how to install an old 72-pin PC 66 memory module, you'll have no trouble with newer DDR 3200.
I encourage you to go ahead and build your own PC. It's nice to have a better understanding of what's in that box, and how to fix it when something goes wrong. You'll save money compared to the national chains, though it may cost you more than the mom-n-pop local white-box PC stores. I have built several PC's over the last few years, and it's not hard to get plenty of performance on a tight budget. For instance Fry's Electronics sold me an Athlon XP 2400 CPU bundled with an ECS K7S5A motherboard for $109, and the price for the bundle has actually dropped to $89 since then! This is not a cutting-edge motherboard, but it supports DDR memory at 266 MHz, the ATA-100 standard, and has onboard ethernet and sound. It is also fully Linux-compatible, a necessity for me as Linux has been my only operating system for the last two years. Similarly, an Athlon XP 2400 is not cutting-edge, but is more than fast enough for anything I want to do with it, and the money I save on the inexpensive CPU can be used to buy things like the Zalman copper "flower" heatsink I used, which provides effective cooling while being very quiet.