Well, as someone who recently built their first computer, I know exactly how you feel. My advice is to buy a tool kit specifically for building computers (I personaly bought a 36pc Belkin Kit) which some may say you don't need, but the one I had contained everythingt I needed- anti-static bands, fully de-magnetised tools etc. Also, have a laptop or another computer open next to you all the time you are working so that you can easily look up what you need to know. I personally found a couple of great guides for beginners. If you are looking for a good processor at cheap(ish) cost, I recommend an Intel Core 2 Duo 3.00ghz. I have one in my rig, it runs perfectly, can be OC'ed without much hassle and was only 300 or so dollars. When building, just stay calm (Harder than it sounds, I personally felt like putting a fist through a wall a couple of times) and you'll get there in the end.

Hopefully that amount of writing was helpful =P Gl