Not that difficult, but it will take time and you need patience as well.
This is a How-To-Guide from 2002; part 1. Yes the parts are a bit dated but the steps are still the same. Plus it has pictures.
Here's part 2.
The only bad thing about building your own PC is that if you run into problems either while building, or a few months down the road after your PC is up and running is you need to resolve it on your own. But hey, that's what this forum is for.
Give a budget, and what you want the PC to do and people will start offering suggestions as to which components to get.
If you want to build a gaming PC you should budget at least $1,000 not including the cost of the monitor. That should be enough for a moderate gaming PC. $700 - $800 is probably good for a budget gaming rig. About $1,500 for a highend gaming PC and $2,000+ for a premium machine. Roughly speaking.