Its not as complicated as you may think. Once you understand which parts are compatible, its like putting legos together. I'll give you a rough idea without choosing specific parts for you so you can try working at a build via newegg or the likes. As a first build, I suggest you don't really go for anything fancy like Dual GPU setups, overclocking, or watercooling and try to build a nice, simple 1-graphics card build on air cooling.
Contrary to what might seem logical to a newcomer, choosing the case first and building inward, you actually should work in the opposite direction because of part dependencies, from the inside out. I tend to choose parts in this order: Processor -> Motherboard -> Ram -> Graphics card -> Power Supply -> Case -> Drives. The processor dictates what motherboards you can use. The motherboard dictates RAM and how many graphics cards you can use. The graphics card usually is the main determining factor on a power supply, and the graphics card and motherboard dictate case size.
Next, how to shop. If you're in the US, I suggest using newegg to at least choose parts even if you aren't going to buy from there. You can look at items, see what most people went with and their reviews, and build a wishlist to tally up your total before you buy each part. They also have frequent sales and deals. For how much you should spend on a part, I recommend you look at Tom's SBM, they do their best to squeeze the best performance out of a specific price point. If you go to the hardware section of the item you're looking for, you can choose a base category (like Processors - Desktop and Intel) and sort by most reviews or best rating to get a good idea of what other people have been buying. I suggest using the cooler that comes with the processor for now, if you decide you want to overclock later you can upgrade at that point.
Once you choose a processor, look at the socket type (such as LGA 1150) and use that as a filter for the motherboard selection to show you what is compatible. Motherboards have different chipsets available for the socket, each with more/less features. This is where your sound, internet, USB ports, and other connections come from. If you were to choose a LGA 1150 processor, I'd suggest a Z97 board so you have growing room priced at around $100 to get a good range of features. Motherboards have sizes (ATX, mini-ATX, ITX) that indicate their dimensions. Generally, bigger boards are easier to work with but may require a larger case.
Next you choose the RAM. RAM is pretty simple, look at the 'memory' section of the motherboard to see the specifications and pick out one that matches what you need. You should always buy your memory in kits that coincide with the 'channels' the motherboard supports, so for dual channel you'd get a 2x4gb or 2x8gb kit. A 1x8gb stick is not as capable as a 2x4gb kit in a dual channel motherboard.
Now the big kahuna, your graphics card. Based on your listed game requirement, I suggest spending around $300 on a graphics card, most likely a GTX 970 or an R9 290x. Look at tom's 'best for the money' guide to see what's working at a given pricepoint. In a simple build like the one I suggested, you wont really have to worry about motherboard support since they're all going to have the slot for the card, but if you were getting multiple cards, the higher-end motherboards support multi-setups better. If you were to decide it at this point, you work backwards and choose a mobo and CPU to better fit your graphics needs. Some people may start with the graphics for this reason and its certainly a viable alternative.
Now that you have your core components, choose a PSU. Never go cheap on the PSU, cheap ones wear your components faster and are hazardous. A 600w PSU should handle the system I'm recommending, I have a 750w and it handles two heavy duty graphics cards just fine.
Finally, choose the case. The two limiting factors to case choice are the length of your graphics card and the size of your motherboard. I strongly recommend staying away from case/PSU combos because they usually ship with crappy PSUs. A solid case can be had for $50-$100, and you pay more than that for extra bling/design/features. Small cases can be hard to work in, so for starters, a mid-tower would probably be best for you.
Now lets talk drives. You should definitely buy a SSD in the range of 128gb-1tb, depending on how much you want to spend. You'll want to install the OS and games on the SSD for good load times and performance. If you need to, you can get a storage hard drive for your other needs. An alternative is spending ~$180 on a 512GB ssd and forgetting the HDD since you probably have a laptop or something else with everything else on it. You can buy a DVD/BD drive if you want, but its not really a vital component anymore. I personally have an external USB DVD drive if I ever need to use install CDs or anything.
Finally, pheriperals. Gaming keyboards and mice can be expensive, but are mostly a matter of preference. I suggest you look around on these and make a decision of whether you want them or not. You could start with a basic KB/mouse pair and then get gaming ones later if you feel you'd like them. For a monitor, I suggest 24-27' 1080p. In order to play great detail games like the ones you want at higher resolutions, you need more graphics power.
Now, why am I so focused on purchases and not the actual build? That's because the build is a lot less scary than you'd expect. When you get your parts, the motherboard booklet ALWAYS lists exactly how and when to install things in chronological order, in great detail. If you read it straight through, you will get all your parts in your case and installed in a matter of about one to two hours or so.
Please let me know if you have any questions.
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