To build a gaming computer, you need the following:
Motherboard
CPU (Processor)
GPU (Video Card)
RAM (Memory)
HSF for the CPU (Processor Cooler)
Case
Optical Drive
HDD (Storage)
Optional depending on budget: SSD (Solid State Drive, smaller capacity than HDDs, but a helluva lot faster, install Windows and commonly used apps on it)
Thermal paste is the substance which you put between the base of the HSF and the top of the CPU to increase thermal performance, by making sure there are no microscopic irregularities between the CPU and its cooler. Some HSFs come with it pre-applied, some don't. To apply it, just leave a small pea-sized blob in the centre of the CPU, and let the pressure of the HSF distribute it evenly.