There's many guides on assembling the parts, search on the internet. iirc www.tigerdirect.com, www.Corsair.com, here at Toms all have guides. www.hardwaresecrets.com has many short tutorials that might be helpful, take a look at them.
Read all the directions, your motherboard and case manuals. Static electricity is not your friend! Keep yourself grounded by touching bare metal on the case often, be careful how you handle your components. Don't work on carpet, no children eating peanut butter and jelly sandwiches and large glasses of milk can watch. Liquids and oils and grease are not your friends. Pets can go outside. Work over a clean, dry worksurface. Have all the tools you need ready and clean. Read the directions! Being gender challenged about directions is not a valid excuse. Don't force anything! If something seems to be taking more pressure to connect then you think it should double check to make sure you're making the right connection. Sometimes you run into tight fittings/sockets etc. but double check. Measure twice, cut once.....ooops sorry that's carpentry. It's really not that hard, if you start getting stressed, take a break. The thermal paste will already be on HSF, it'll probably have a piece of clear plastic over it saying "remove this before attaching" or some such. The silica sand in the little packet is not for eating. Good luck.... it's actually a lot of fun to build a system. You should not have any changes to make in BIOS after posting, your motherboard manual should cover anything you need to know. You can always post back here if you run into anything. In terms of making a mistake, i've made more mistakes, some of them incredibly dumb so many times i can't count that high without taking off my shoes. Have fun and good luck.