Ok, I've never built my own computer before either. However, I have researched the topic in consideration of building my own, and a close friend of mine used to build computers.
The best thing that I can tell you is that you need to do a good amount of research. Certain parts will work with each other and some won't, and it would really be a drag if you bought and assembled everything just to find that something wasn't compatible.
I was also once told to purchase the case last. Otherwise, space availability could very well become problematic since you'd really limit yourself on what you could get that would fit.
I apologize if anything I said is obvious. I am absolutely no expert on the topic, but wanted to offer what I could to help out