Generally CPU into motherboard, add RAM, add cooler, then into case. Then GPU(s), HDD/SSD/ODD, and then PSU. Depends on your case though; sometimes you need to wire it up before you put the MB in.
mb on case backplate comes first. then plug in case add all connectors, add psu connect it to mb, ram, cpu+cooler, gpu, now you can tilt the case upwards. add hdd, dvd and all other peripherals.
Often you can't install the cooler once the motherboard is int the case. And it's easier to apply force to the MB to seat the CPU and push the push-pins when it's on the bench.