Really, it's very easy and you can't easily go wrong short of breaking or in some way ruining a part. Just make sure the form factor on the case you choose and the motherboard are the same. Make sure the case has lots of room for you to be comfortable while working and later expansion. Go with PCI-E (if they even make AGP stuff anymore) and make sure you get a compatible video card. Also make sure the processor you order is the same socket as the motherboard. If you will be using SATA drives, make sure the motherboard you order will have that. Always buy one RAM type and size and also check for compatibility between RAM and your motherboard as some boards can be very very picky.
Really, that's all you need to know about purchasing everything. Installation is very easy and if you get stuck, read the manuals. I built my computer with no previous building experience and it was simple not counting the case modifications I had to make. I had an old Gateway case, some cords for the power button/leds were a little too specially made for their mobo, also I had to cut a hole for a new back panel. If you buy all new stuff, you should have no problem.
Good luck
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