Its just like making a fancy lego or meccano kit. There is only one rule - do your homework. Which means getting onto the internet, running a search and reading the useful stuff. The do's and don'ts are common sense. The key area you must research uniquely for each computer you build is component compatibility. This isnt as bad as it sounds, there are look up tables designed exactly for this for people like you who want to build your own, you just have to find and read the tables.
This is the only slightly obscure piece of knowledge you will need. The everyday teeny little static spark from running a comb through your hair or pulling off a synthetic jumper can destroy the functionality of a silicon chip. The answer to this is to buy a static strap and connect it to the mains earth. This will safely conduct static charge from your body to earth.
The main component of your computer is the mainboard also known as a motherboard or mobo for short. It is a large printed circuit board which holds the other components of the computer together and allows them to interact through the circuitry printed on or in it. Once you have chosen your motherboard (or mobo) you just have to plug the necessary components in and it will be able to run. Most people choose their CPU first and then select the mobo to suit. Personally I believe a mobo is the most important part of the system and will remain while CPU's come and go. A high quality mobo is worth every penny therefore, and should be selected with an eye on the future and possible upgrades.
There are two main makes of CPU on the market as I type, Intel and AMD. You need a different mainboard for each make of CPU and even for different types of CPU made by the same company (silly I know but that is 'loyalty' marketing and 'planned obsolescence' for you). Each type of CPU covers a range of models, just like cars and while you may not be able to afford the top of the range right now, you may be able to later on so plan ahead.
In addition to the CPU you will need RAM, CDROM, floppy disk & hard disk certainly and if not integrated into the mainboard you will need graphics and sound cards. Modems can also be card based or separate units connected by USB.
The mobo is then suspended within a case which often comes with a removable power supply unit fitted (if not you will need one). PSUs thank goodness are standardised but you will need more power for an AMD setup than an Intel setup at the moment. Each mobo and case has a specific "formfactor" eg ATX and you must ensure the formfactors match for the mobo to fit inside the case. Once secured, the other components are fitted using prefabricated leads and sockets. The trickiest is the CPU which requires a good heatsink and fan to ensure CPU longevity. While fitting the CPU is a piece of cake, the heatsink requires a fine layer of thermal paste to ensure a good contact with the CPU and the springs on some of the heatsinks accompanying Intel boxed CPU are difficult to fit. However once that is done you close the case, throw the switch and begin the task of setting up the operating system.
Here are some links to help you build your own computer.
There is a special sense of empowerement I feel for having made my own computer. I didnt spend any less money for doing it, though I could have, instead I got the computer I wanted at a good price. I would encourage anyone with an interest to do the same.