First off, u should decide: AMD or Intel. AMD gives u the bang for buck, Intel does makes good products aswell but their abit more expensive.
After that: decide what motherboard and processor you want to go with. Different mobos have different sockets to support different processors. Such as the AM3 for AMD and 1366 for Intels i7 chips.
Get a nice pair and go on to the next step:
The graphics card. Here you have a choices and its actually similiar to the proccesors: there are ATI (AMD) and nVidia gpus. ATI got the edge and that whats in most new builds at the moment.
Depending on your build you should use that much RAM. About 2 gigs for an office computer and 4GB for gaming is reccomended.
Research watt usage on all ur components and buy a power supply that can manage that.
If you're feeling sheepish because you want to save 100 or 200 bucks, don't. If you are building a Gaming PC, i recommend you set aside $1500 (US) to build it.
I would also very, very strongly recommend getting an i7 system with an x58 board. Reasons why, the performance is great and x58 boards allow you to do both SLI and Crossfire so the video card you choose doesn't matter as much.
the most important parts are the power supply, mobo, and cpu.
I highly recommend an i7 cpu x58 mobo, and make it a brand like Gigabyte, ASUS, or EVGA
Be sure to by a psu from a good company such as corsair or coolermaster because if your psu for some reason dies, a crappy one could kill your entire computer.
If you can't afford the video card or memory that you want now, buy a cheaper one and upgrade later. The most important thing is getting a quality cpu, psu and mobo, everything else takes back seat. I know this from bitter experience
Here's what I'd recommend
Corsair 1000W or 750W (you probably won't ever go past 750 unless your overclocked running SLI or crossfire with a gtx480)
(I would also recommend either getting a coolermaster or antec case because of their wire management, which isn't necessary but certainly is useful)
as far as building the computer, there really isn't much too it. Youtube a few videos if you want, but I personally built a computer using only the case manual and motherboard manual. They have detailed descriptions with pictures on what to do. Honestly making a computer is like playing with legos. Just make sure you don't get water on anything, try to build it on a sort of humid day to minimize static, do it on a wood or glass table for the same reason. Keep everything clean and tidy and don't play around with it too much before you build.
Actually first thing any new person should do is fill out the sticky in the main page. That'll tell us your budget, your needs, your current parts, etc... It's just common courtesy here. And 2000 au (1681 USD) is a very nice budget to work with.