First decide on a CPU you want, they have a corresponding socket type, find a motherboard that supports that socket type. It's always good to confirm that the motherboard supports your CPU by going to the manufacturer website and looking at the list of supported CPUs.
Find RAM which the motherboard supports, most will accept DDR3 with various speed levels, 1600MHz is generally a nice speed which most motherboards should support. Now choose a graphics card, all modern ones should work with the motherboard you have chosen, it will be PCIe format generally with a bus rating of 2.0 3.0 etc... those are backwards compatible so if you have a 3.0 motherboard a 2.0 GPU will work fine with it.
Choose a PSU which meets the power requirements of the GPU you have chosen, pick a case, HDD, and DVD drive and you should be all set.