This is good information: http://www.tomshardware.com/forum/274745-31-step-step-guide-building
Definitely get an anti-static wrist band - mat optional.
The PSU does come with an AC cable, and a lot of other cables as well
The motherboard comes with a lot of cables - SATA, IDE if the motherboard has an IDE controller, Molex to SATA power cables, etc.
Wait until you receive all the parts, then layout the connections. You will find that you have most or all of what you need, with some extras.
There are some interesting 'How to build a computer' videos on YouTube.