You would typically get the latest chipset drivers from the chipset's manufacturer, and the latest video drivers from the manufacturer of the video card's GPU.  
So let's say you pick a Shuttle AN35N Ultra and a Leadtek 9800Pro video card.  You would go to nVidia's site to get the nVidia driver package for the AN35N Ultra, since nVidia makes the nForce2 chipset found on the AN35N Ultra.  You would go to ATI's site and get the latest Catalyst drivers for the Leadtek 9800 Pro, since ATI makes the GPU that's found on the Leadtek video card.
The remaining drivers...  let's say you plunk in a TV-tuner card and a Firewire card.  You can either go to the manufacturers' web sites for the latest drivers, or install them from the CD that comes with each card.  As you guessed, Windows may already have built-in drivers for many devices too.  
 
DirectX 9.0B is available 
here if you'd like to have the full-file installer, or you can get it when you visit Windows Update.
To reiterate what was said above:  you want to have firewall protection before connecting the network cable or dial-up modem to the Internet.