Help, Parts for gaming Rig (WoW, SC2)

APPROXIMATE PURCHASE DATE: End of Sept.?
BUDGET RANGE: Around $650-750 (including OS)
SYSTEM USAGE FROM MOST TO LEAST IMPORTANT: Mostly gaming and studying.
PARTS NOT REQUIRED: Keyboard, mouse, Monitor and speakers.

PREFERRED WEBSITE(S) FOR PARTS: Newegg or T.D

COUNTRY OF ORIGIN: USA
PARTS PREFERENCES: AMD, but could live with Intel as well.
OVERCLOCKING: No
SLI OR CROSSFIRE: No

I will be playing WoW and SC2, nothing whack like Crysis, but would like smooth gameplay as well.

I have many questions because this will be the first time I build a computer:

Will I have to buy extra fans for the case and/or the CPU? or do they come along with the parts?
How does installing an OS work? Do I just boot the computer after building and insert the CD?
Approximately how long will building the computer take, given that I am watching a video of how at the same time?
Can I just download Microsoft Security Essentials/ Malwarebytes and be OK with stuff like viruses?

Thank you!