Help building gaming PC - Tips needed

This is the gaming PC I've decided to build

COOLER MASTER HAF 912 RC-912-KKN1 Black SECC/ ABS Plastic ATX Mid Tower Computer Case
SAMSUNG Spinpoint F3 HD502HJ 500GB 7200 RPM SATA 3.0Gb/s 3.5" Internal Hard Drive -Bare Drive
MSI N570GTX-M2D12D5/OC GeForce GTX 570 (Fermi) 1280MB 320-bit GDDR5 PCI Express 2.0 x16 HDCP Ready SLI Support Video Card
CORSAIR Enthusiast Series CMPSU-650TX 650W ATX12V / EPS12V SLI Ready CrossFire Ready 80 PLUS Certified Active PFC Compatible ...
VIZO VIZO-SCB-BK Cable Binding Kit (Black)
VIZO VIZO-SCB-BL Cable Binding Kit (UV Blue)
G.SKILL Ripjaws X Series 4GB (2 x 2GB) 240-Pin DDR3 SDRAM DDR3 1333 (PC3 10666) Desktop Memory Model F3-10666CL8D-4GBXM
MSI P67A-GD65 (B3) LGA 1155 Intel P67 SATA 6Gb/s USB 3.0 ATX Intel Motherboard
Intel Core i5-2500K Sandy Bridge 3.3GHz (3.7GHz Turbo Boost) LGA 1155 95W Quad-Core Desktop Processor BX80623I52500K
COOLER MASTER Megaflow 200 R4-LUS-07AB-GP 200mm Blue LED Case Fan
2x MASSCOOL BLD-12025V1 120mm Blue LED Case Fan
COOLER MASTER Hyper 212 Plus RR-B10-212P-G1 "Heatpipe Direct Contact" Long Life Sleeve 120mm CPU Cooler Compatible Intel ...
TOTAL: $1,110.73

My problem is I've never built a PC in my life but I'm really wanting to learn how to do so. Thing is I was hoping someone could tell me the first thing I should do when I get all my parts? I know what parts go where and how to install them and for the stuff I don't know I've looked up tutorial on youtube bookmarked the ones I'll need for the components I've chosen to help me along but where I'm a but unsure of is how should I go about testing the system to make sure everything is running good?

What tests should I perform and on what components and should I test any one component before another? Any specific software I need to make note of? I haven't ordered these parts yet but it's in my shopping cart and I'm thinking of ordering everything tonight. Thanks.
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More about help building gaming tips needed
  1. Not one? :( I'd really like to order this by tonight but just want to make sure everything I need to do or to make sure I am missing nothing. Thanks.
  2. Check out my build guide in mah siggy. You'll defiantly get a lot more out of 1000$. Or you could try the 1.2K build. It'd be much cooler by that I mean temps..
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