Assuming you're using Windows 7, load that on it, then load the drivers from the mobo CD (likely necessay to get the onboard NIC to work, though Windows 7 may have loaded a default driver for it; if you can get online, it did). You may not even need the monitor CD.
After loading the mobo CD, then begin locating and loading other drivers, such as for your video card and other attached peripherals, if applicable (e.g. mouse, KB, webcam, printers, etc).
No. Does the HDD appear in the BIOS? Assuming it does, you may need to go into Disk Management (Start, right click Computer and choose Manage, then go to Disk Management). Initialize and partition the drive there.