It's a bit intimidating.
Here's a guide with pictures; on
this page is a video version.
I'd go in roughly this order:
Remove the sides, typically by removing thumb screws and sliding the panels off. Put the case sideways. Touch the case to discharge static.
Install the mobo stuff (RAM, CPU, cooler) onto the mobo while outside the case. Screw in motherboard standoffs if the case didn't come with them pre installed (they come in a box or bag with the case, and are small brass colored things with one hollow end). Screw the mobo onto the case (again, screws provided with case). Discharge static, again by touching the case. Put in PCI/PCIe cards on the screwed in motherboard.
Turn the PC upright and mount hard drives to the bays with the mechanism provided (typically, there will be "wings" which attach to a hard drive and then slide into a bay). Tape an SSD somewhere (electrical tape, zip ties, and velco are all solid options) in the case, preferably with the end with connectors facing the PSU and motherboard. Install the DVD burner if you need to. Touch the case to discharge.
Slide the PSU in the slot provided. Connect everything to it (GPU won't need it, I think. Motherboard gets one 24 pin connector (the thickest cable) and one 8 pin connector (marked with "CPU" usually). HDDs and SSD each need one). Then connect the SATA cables (one to each the HDD, SSD, and DVD burner). Like RAM, the manual will tell you to install to some slots first. Give priority to the SSD, then the HDD, then the burner.
Hook the computer up to the monitor and to the power supply. Power on (remember, the "line" symbol is on, and the "circle" symbol is off. The computer should tell you to give it a boot drive. This is your cue to put the Windows disc into the reader.