Yes, dust in a system can eventually kill a system. If the dust is allowed to build up and coat the components in your PC, it will trap the heat, causing the components to over-heat and die.
It is impossible to keep your PC 100% dust free (unless, of course, you don't mind never turning it on). Using a case with positive air pressure (more intake than exhaust fans) as InvalidError suggests and fan filters will help keep the dust to a minimum. But however you have your fans configured, I'd recommend cleaning your system at least once every six months (more often if you smoke).
-Wolf sends