Here is the stuff I bought yesterday for my new PC (despite wife telling me not to)
 
My Components
1. Q6600
2. GA-EP35C-DS3R board
3. Antec Sonata III 500 (includes 500W PS) LINKY
4. OC 8600GT DDR3 256MB
5. Consair 2GB 800Mhz RAM
 
I like the setup but dont know about cooling and fans. The case has 120mm fan and vent.  
 
Cooling Questions
Q1. Do I need any extra cooling if I run Q6600 at stock speed?
Q2. What type of cooling do I require if I OverClock the Q6600 to around 3.0Ghz?
Q3. Do I need to get some thermal compound also?
 
Q4. I still need to assemble the computer. Is there some tutorial for newbie like me to setup Q6600?
 
Thank You!
 
=ShyGuyCalif

We'll be with you every step of the way just cant do it for you. Wait to buy until you have all the knowledge necessary to build and know exactly what you want.  
 
Wait on the cpu... new procs are coming out soon. 45nm quads.  
 
8600gt... I would spend the extra dough on the 9600gt.  
 
You need aftermarket coolers if you are going to overclock. I have the thermalright ultra-120 extreme and it's awesome and mounts very solid to mobo.  
 
You should look at possibly a different motherboard if you want to get into overclocking... the P35 is great but soon the P45 and X48 will be hitting the shelves... dont skimp on the motherboard... Do you want multiple GPU's? then go with an 780i chipset.

*Sigh* Don't people read before posting anymore? The OP has already purchased the hardware.

Ok, Shyguy, here goes:

Q1) Stock speed, the stock cooler should be fine.

Q2) You might be able to get a slight overclock on the stock cooler, but with a quad core it is highly recommended that you get an aftermarket cooler. I recommend the Tuniq Tower, Thermalright Ultima-90, or the Thermalright U-120E, depending on your budget.

Q3)Arctic Silver 5 is very popular (what I use), as are many other products. AS5 is guaranteed to be good, but you might want to ask on here first if you are considering something different.

Q4) Do some searches for 'How to assemble a computer' or 'How to build a computer'. I know I've seen some guides/tutorials link here on the forums, I'll see if I can dig them up.

***I wish you had posted BEFORE you made your purchase so we could have pointed you toward a better video card.

For the actual assembly use the Manual that comes with the mobo.  Every mobo is a bit different, which is why you use the manual.  Also a good idea to keep the on line manual up, easy to read, especially the pictures and you will use the pictures

 
oooops... I missed that part... already bought  

 
 
Thanks for your support. Unfortunately given my understanding level (which is not high), it left me further confused.
 
Processor
You said I should have waited for new CPU which might come out soon... but wont they be expensive when they are just released??
 
I want to keep the budget tight at the same time not too tight (wife may taunt me if I spend too much on my toys...  you know how it goes).
 
So I choose Q6600 since it is good processor and this was on sale for $199 at Microcenter.
 
Motherboard
I choose EP35C-DS3R board as this had inbuild RAID support (which is very important to me). I want ability to setup RAID to backup important data (family photos and documents). Also this board has ability to connect IDE/PATA Drives... so I wont waste them from earlier dell.  
 
Q. Is there a better board I could have used???
 

Video Card
I choose 8600GT since I do not game at all... I might do little video editing. Also this was cheap (just $65 at newegg) and seemed the best value for money.  
 
Q. Is there a better card around that price range?
 
 
=ShyGuyCalif

Oh man... given the circumstances you chose exceptionally well.  
 
I would have bought the same stuff... and I'm not trying to be nice.  
 
If you dont play games you didnt even have to get the 8600GT. You could have got a 8400.

yep, you're fine, and that board allows you to move to DDR3 when it's time. That was a good deal on the q6600.  i wish there was a microcenter in north carolina

 
I researched both recommendations. I feel both coolers recommended are very very good, but they might not fit into my mid tower (Antec Sonata III 500). Most people in reviews at newegg have warned for it.
 
I am thinking of getting ARCTIC COOLING Freezer 7 Pro.  
This seems to have very good reviews at newegg. And seems to have smaller profile to fit in my ANTEC Case.  
 
Suggestions ?
 
mtyermom had suggested getting Artic Silver 5 thermal compound. Will it work with the above cooler?? Is it always required to use the thermal compound with a cooler??
 
=ShyGuyCalif

The Arctic is a good cooler... I have the thermalright ultra-120e and it fits fine in my Antec 900. I dont think it's that big and it can go in either direction.

 
Yeah... I fully agree...  I feel I am not happy with my case (Antec Sonata III 500). I feel it does not have good ventilation. I love ventilation in Antec 900 but dont want a case with too much bright leds that are always on. I dont know if I should stick with my Antec Sonata or ditch it and go with something with better ventilation. Recommendations ??
 
I was thinking of alternatively getting COOLER MASTER Centurion 5 or maybe Rosewill R5604-BK.  
 
Good thing with Antec Sonata was that it came with stock 500W Power supply. If I get above cases then I need to get my own power supply. Any good PS for my system?
 
=ShyGuyCalif

If you already bought it and are satisfied with the way the case look than I would stick with it.  
 
Does the case have a front 120mm fan?  
 
I think that you will be alright if you decide to stay with the original case and get a thermalright HSF. If you decide to get the cases with the side intake I would look no further than a Zalman. Try to get a cooler with metal connectors because the plastic ones suck... like the stock one.  
 
If you do decide for the others go with the centurion. It is spacious and has the intake on the side. Just keep in mind that if you get that one you'll have to removed the plastic scoop for you huge HSF.  
 
Good luck. Anything else?

i wasn't happy with the airflow or cable management in my old case, so i started drilling holes and mounting fans.  I ended up with a much cleaner, cooler case and the satisfaction of doing something myself.