The best way for a new builder to do things is one step at a time, so that if/when something goes wrong you have a feel for what did it.
1. Install Windows, formatting the disk.
2. Boot into Windows and load the chipset, audio, NIC, etc drivers from the CD provided with the mobo. This may not be optimal, but the mobo should run with what is provided. If you have a wireless connection, alos install what is necessary to connect to the Internet.
3. With Internet connection established, download/install Prime95, Furmark, and CPUID's Hardware Monitor.
4. Run Prime95 (with "Detect Rounding Errors" checked) for an hour watching temps with Hardware Monitor. This tests cpu stress, heat, and memory.
5. Now that the basic system is running smoothly, go to nVidia site, let them autodetect your graphics card, and dl/install the recommended drivers. If it doesn't detect your card correctly, try and resolve that issue.
6. Run Furmark and watch with HWM again.
7. Run Prime95 + Furmark watching cpu/gpu temps with HWM. Watch temps closely. If you were happy with the temps before this test, keep in mind this is an extreme test of cooling.
Now you can consider looking for latest mobo drivers from mfger's website. You can dl/install CPUID's CPU-z to show you available memory settings, and compare them to what BIOS defaulted to. After you change memory settings, run Prime95 again to ensure your memory remained stable with new settings.
Of course you can do a lot of this up front, but then you have little idea what caused the problem you may find you have.