You did say "build" and not "buy", so I recommend that you get most, if not all components from Newegg.com . I realize this may sound judgemental, but I have found no other online supplier that comes close in both variety and cost. The user reviews for each product can be invaluable.
Getting back to how to learn how to select components - it took me many, many hours to learn all the variations that are out there. This is not something you will pick up in a week, so be prepared to spend a lot of time doing so. I think the best way to learn is by talking to someone who has (sucessfully) done this. The next best way is by Googling "build pc" or "how to build pc". You will be overloaded with hits, but after reading through a couple of dozen sites you will get a good feel for it. This is what I did. Google is your freind.
The first thing you need to decide is what processor type you want to use - AMD or Intel. IMO AMD gives better bang for the buck. In the Intel world the current processors are designated "Pentium 4" "LGA775 socket T". This refers to the CPU package. AMD has 2 types - the Athlon64 "socket 754" CPUs and the Athlon64 "socket 939" ones. So, all modern motherboards will designated as one of these 3 types. AMD socket 939 processors are significantly more expensive than the socket 754 CPUs. A socket 939 motherboard can be used with either a socket 939 processor or a socket 754 CPU.
The rest of what you need to know you can learn by reading.
