Actual tools required:
Philips screwdriver ("t" shape)
The anti-static wrist band is a good idea for a first time builder, but is not absolutely necessary. Keep in mind the following:
1. Do not put your PC together on carpet or a rug.
2. Ground yourself by touching the metallic PC case when it is on the floor. Again, not on carpet or a rug.
3. Touch the case every now and again (overkill, but as a first builder, better safe than sorry).
You can buy the anti-static wristband and thermal paste from your local electronic store in most cases. CompUSA should have them.
You can also buy them online:
List of Thermal Compound - I prefer Arctic Silver 5.
Rosewill RTK-002 Anti-Static Wrist Strap
To apply the thermal paste you can use your credit card, or a playing card (better since it is more flexible). Squirt out some thermal paste, use your card to cut it, then line it up in a straight line, take a straw, then.... Oh, wait. I was thinking about my other hobby.
Okay, here are the real instructions:
Squirt out about a rice grain size of Arctic Silver 5 (AS5) on the CPU, then evenly spread it out with the card. A thin layer is all that is necessary. Too much AS5 can decrease it's effectiveness.
If for some reason you are going to be using the stock heatsink fan, but you will use AS5 (or some other thermal paste) be sure to wipe the thermal paste off the bottom of the heatsink before applying your own thermal paste on the CPU.