Well, first of all congrats on wanting to build your own Rig!
Since I am at work and doing a 12 HR shift, I will try to go into much detail (yet simple) as possible.
But, before I do, I recommend watching a "how yo build your own computer" on "neweggtv" youtube channel.
Note: AMD build is less expensive than Intel.. Intel is slightly better but honestly not worth the difference in performance.
A). Parts that make up a computer that you will need to get (unless you can salvage previous PC parts)
1. CPU (CPU/ Precessor should be the first thing you choose and build around it, based on what CPU you get, you will have to get a motherboard that is compatible with it. Such as A) AMD or Intel B) Socket Type FM2 AM3 1155 etc. Note: The socket type will determine the Chipset company. Example:if you get a socket 1155 processor, make sure the motherboard you get has a socket 1155.
2. Motherboard (since you will choose your mother board base on what socket type your processor is, your motherboard will determine what type of RAM (memory) you need to get. It should tell you the type of RAM the mother board supports under the specification section of the motherboard. Note: it will usually say DDR, DDR2, DDR3 then give you the speeds it supports Example 1600mhz 1333mhz etc. After you know what type of memory it supports, start looking for the memory (RAM)
3. RAM (memory) 3 types for desktop DDR, DDR2, DDR3. speeds vary so when you are shopping around make sure you have the right DDR type that your motherboard supports and make sure you get a speed that your motherboard supports. Also, make sure you check how many slots your motherboard actually has. Note: for gaming minimum 8GB is recommended. better at 16GB (even though you won't use all of it)
4.Power supply, make sure you get 500-750Watts (common for recent builds) Also Corsair, Antec, Coolermaster are my top 3. Note: Never spend less than $50 on a Powersupply cause if you do, they usaully fry in about 3 months.
5. Harddrive (make sure its SATA (should be) and Western Digital and Seagate are my Top picks.
harddrives are pretty much universal and make sure its an internal harddrive not external.
6. CD/DVD drive... make sure its SATA pretty much universal too like the HDD (hard disk drive)
7. Case... Just make sure its a midtower or full tower, otherwise you will have to learn about form factor as well. (form factor refers to the size of the motherboard Example: ATX, Micro ATX, etc and you just pretty much have to make sure that the motherboard you get will fit inside the case, but like i said, if u go with mid or full tower, any Mobo should fit in the case regardless of what size it is.
7. Graphics Card (make sure its PCI-E X16 as the socket type, and make sure it has atleast 128bit memory bandwith and atleast 1GB of RAM. (you will have to do some research on graphics cards because there is allot to know for what makes one "good" but as long as u make sure it has 128bit memory bandwith, with 1gb of DDR3 or DDR5 (ddr5 is better) and it has Direct X10 or X11 (X11 is better) then you should be ok for a first time graphics card, until you become a full nerd and know your way around hardware.
Thats pretty much it... i know i wrote a bit but I made it as simple as i could, as far as how to physically build it, watch the video i mentioned at the start. Good luck with your build. hope my answer helped. =)
Edit: looking at some of the answers on here... I hope my answer was what you were looking for since it sounded like you wanted to learn about how to build a computer, (feed a man a fish, teach a man to fish.... difference between my answer and the rest on here.