One of the best guides for how to build a pc can be found on youtube.
It was uploaded by newegg and comes in 3 parts.
Part 1 is picking components
Part 2 is building
Part 3 is installing software and drivers
The video's are quite long, but are very in depth and certainly helped me with my first build.
Here's a link for Part 2: http://www.youtube.com/watch?v=d_56kyib-Ls