Once you have the main ingredients put together (MB, CPU, Heatsink, Memory, PSU, Vid Card [if needed - some boards have option of cruddy on-board video], sound card [once again, if needed]) and you have everything hooked up the way that your motherboard manual specifies, you should be in good order to check and see if it POSTS. This just means that the initial logo screen will be able to come up (offering you to press delete to enter BIOS or maybe a function key+number). This will give you the chance to check the basic settings on the computer - hence the B in BIOS. Some people will also install their HD and optical drive before powering on for the first time. This allows you to see if the MB can recognize that the HD and the optical drive are both there.
Once you see that the settings are all working fine (most of the time, for a new builder, you shouldn't need to consider changing any settings aside from date and time), and that the HD and optical drive is recognized, you can start installing your operating system. If the HD or optical drive isn't recognized, they may be set-up incorrectly (via jumpers or other reasons). However, if everything is good, you are set to proceed.
If it's windows XP, just restart the computer with the windows disc in the optical drive. Follow the instructions and format the HD (as it is a new one) - then you will be asked to create a partition. People differ on the amounts, but for your HD, if you aren't going to be storing a lot of MP3's or changing a lot of photos, you may jusy choose to make one large partition. Some people make 2 - one division for the operating system, and another for the files that they commonly store and erase. This keeps things separated a bit better.
Windows will install the OS on the main partition, and you will go through setup.
Now, if you are using an old HD on the computer, things are a little bit more tough. The operating system has been conifgured to recognize the previous computer's setup. I generally support people doing a fresh install of windows just to avoid messy driver complications and avoid slowdowns from junk in the computers file systems that is no longer needed. One way to make things easier is to install the new drive with a fresh install of windows, and also place the old drive in the same system as a second HD. This allows you access to the old files via picking and choosing, or just using the Files and Settings Transfer Wizard.
Once the old drive isn't needed any longer, consider leaving it in the computer as secondary storage. I don't suggest that you use it to back things up. I always recommend an external drive for that (one that can be left unplugged when not in use). If you do have an old drive though, you can consider buying a HD enclosure that would allow you to use the old drive via USB or Firewire. Then it could serve as a backup drive.
I am sure that there are several others here who could answer your question better, but I thought I would throw this out to you to try and help.