Do you mean a CPU Central Processing Unit or a computer? (Many get those two mixed up.)
I wouldn't know what a CPU consists of, apart from a heatspreader and chip.
But if you meant a computer, it consists of these different things:
-A CPU that powers the whole system, does all the calculations.
-A motherboard, where the CPU is placed into, and connects the CPU to the other components.
-RAM - Well, it is kind of hard to explain what it does, it's like cache for CPUs - very temporary storage for your programs etc, a really fast HDD essentially.
-An HDD is where all your data is stored, where the operatiing is installed etc.
-Graphics card - not essential, but is used to calculate graphical stuff, like 3D imaging etc. Integrated graphics are just super cut-down graphic cards.
-A power supply supplies power to the whole system.
-A case is just to hold the system in place.