It is pretty easy. There are numerous videos on how to do it. 90% of the issue with building a computer these days is getting the parts that match up with the system. You need:
* CPU that fits into the correct Motherboard (socket 1150/1151/FM2/FM2+/etc.)
* RAM type needed for the Motherboard you selected (DDR3/DDR4/etc.)
* Motherboard that supports the RAM and CPU that you use, I usually start off with the Motherboard that I want to use and find the parts to fit into it, i.e. CPU/RAM/etc.
* Dedicated/Discrete GPU that you want to use and can fit into your budget. When the system is built for gaming, the GPU is almost the most important part of the build.
* HD/SSD for your storage needs. Obviously more space is better, but speed is also of concern. If you can afford an SSD (they are pretty cheap right nowa0 then I would opt for one, but in your budget you will have to have a regular spinning HD (7,200 rpm preferred).
* GPU is where your gaming is improved over the iGPU (integrated GPU) that comes with most CPU's these days.
* Case/PSU will have to support your options that you have selected above.
* OS for your system.
That is about how it is all done/considered on how to make a computer these days. Just search on YouTube for "How to build a Computer" and you will see how easy it really is. Like I said before it all comes down to your budget and what parts you pick.
I use PCPartPicker extensively, because it is easy and it won't let you select incompatible parts either. So it makes selecting parts very easy. You will have to do some research on certain parts to see if they meet your needs, but for you budget, I have included 2 options w/or w/out Windows OS. You can select other options, but the builds are good starting points for your budget.
Here is Austin's on how to build a PC video.