Be prepared for a lot of shouting
When I build a machine I tend to do the following:
1. Check the case for any sharp edges as you will find the cheaper ones tend to cut your hands to shreds. Empty out the panels that you do not use for CD writer, floppy and motherboard backplate.
2. Insert the motherboard panel into the case - this is so the motherboard components will all be sticking out of the correct holes.
3. Insert the memory, processor and fan into the motherboard. Make sure motherboard CMOS jumper in correct place.
4. Look for the mounting points in the case and put the correct ones in for the motherboard.
5. Connect up the cables for reset, power, front audio/usb etc. from the case to the motherboard.
6. Insert CD writer, floppy and hard drive into appropriate places in the case. Connect the data cables and power up to them. Make sure jumpers on back of devices are set correctly (either Cable select or Master/Slave as appriopriate). Also ensure the cables will fit bvetween the devices and where the motherboard is finally going to be.
7. Insert motherboard into computer and attach data cables and power.
8. Insert graphics card if appropriate.
9. Power up test before closing case. Should make a satisfying 'Beep'.
10. Set CMOS correctly (date/time etc.)
11. Install operating system.
12. Do all the operating system updates.
No real problems - just make sure that you get rid of any static electricity before handling the components.