Did you ground yourself before you unboxed those parts? Did you make sure to install the standoffs between the board and the case? Because if you didn't, your board will short when you start up the PC and it won't work unless you take it out and put the standoffs in.
Next I'd say you should get the PSU in, fan facing down. Route the cables through the holes in the case but don't connect them up to anything.
Then put your CPU in, it will only go in one way - don't force it! The cooler should go on after the CPU and if you're using the stock cooler it should just click into the board.
RAM will only go in one way too. You want to put the RAM in matching bays - ie, if you put one stick in one of the blue bays, you want to put the other stick in the other blue bay - and if you put one stick in the black bay, you want the other in the other black bay.
Then I'd put your HDDs and SSDs in. Simple. Then do the DVD drive.
Put your graphics card in, connect everything up. Install Windows.