First, read the manual. When you are done, read the manual.
I will assume you are building with Amd, as only a fool would be going Intel today.
Everything should slide in fairly easily, except that the hsf is always hard to secure.
Be a little impatient. You have to install cpu, with heatsink fan, and ram, before putting the mobo in the case. Since the board will boot to bios, with just a gfx card, keyboard, and power connections (and this is the only time to be impatient), set it up on a phone book, make the additions and go into bios.
As soon as you finish loading your OS, load all the drivers that came with the mobo, and gfx cards. Make sure you load the mobo drivers.