the best way to learn, seriously, is to take apart an existing computer.
i had a friend build me a computer while i was in college. after i realized that the generic stuff he bought me wasn't going to do me good in the future, i ended up purchasing parts and built my own machine. however, in order to do so, i salvaged what was still working in my old machine and took it apart to learn the inner workings of a computer. it helps.
don't be intimidated. it's really easy stuff.
the main points are to attach the motherboard to the case, probably after putting the CPU on with a heatsink (ensuring that thermal paste exists between the CPU and the heatsink), plug in the power supply into the motherboard, install the harddrives and attach the IDE cables from hard drive to mobo, make sure the molex connector (coming from the PSU) go into the harddrive as well, install RAM, and then install PCI and AGP devices on the mobo. i think that's about all.