socket A cpu's all fit perfectly fine in socket A motherboards.
what you do is pull up a lever. it's usually on a small latch, so you have to push it down, move it to the side a tiny bit, and then pull it up to put the CPU in.
once you have the CPU in, you then push the latch back down in like it was before, and attempt to install the heatsink. most good heastinks are somewhat difficult to install (especially when the motherboard is already in the case) becuase they require a fair amount of pressure. plug the wires from the fan into the appropriate fan header on your motherboard (can find where it is using your motherboard manual usually).
also, when mounting the motherboard on the case (one of the worst documented procedures if you ask me), make sure that you know someone with the same case so they can help you out (or ask on the forums, though this type of step is harder to provide support for).
the power supply is one of the easiest things.. make sure yours is about 300 watts. you put it in the case (unless it already comes with the case), plug the largest connector into your motherboard, and the other 4 wire connectors go into you drives.
I'm not totally sure on this, but I think most power supplies now adays have another small wire that you plug into your motherboard so that you can monitor the speed etc of the power supply fan.
then of course, you plug in your floppy drives, your hard drives, and CDROM's into (for more detailed help on this, just ask, we're here to help!) your motherboard's onboard controller using ribbons (normally provided with the motherboard I think).
then you plug in your video card(s) in, your sound card in, your modem (if you have one), your network card (again if you have one), etc. you shouldn't require as much force with these devices as it takes for todays good heatsink/fans (like my FOP 32).
but before turning anything on, perhaps it would be best to consult the forums to see if you missed anything (after all we're here to help!).