Ok the two people who've responded haven't really told you anything...
Here are the basics:
There are 4 main parts to a watercooling setup, the CPU block, the pump, the radiator, and the reservoir. The CPU block is the heatsink, the thing that goes onto the CPU to transfer heat from the CPU to the water. The pump, obviously is the thing that pumps the water. The radiator is where the water gets cooled off. Usually there is a fan attached to the radiator to blow cooled air across it. Finally, the reservoir is what holds the water, makes filling/bleeding of the system easier, and gets rid of bubbles. The reservoir isn't necesary, but is highly recommended because it makes your life a lot easier and is fairly cheap.
There are many different companies out there that make watercooling parts, but a few make really high quality things. DangerDen and Swiftech make the best CPU blocks (in a lot of peoples' opinions). Good CPU blocks are made of copper, and range anywhere from 30 - 70 dollars. Before you buy, remember to read reviews!!
There are two different types of pumps, AC and DC. AC plugs directly into your electrical outlet in the wall, and is usually used for aquariums and whatnot. DC pumps plug into your computer PSU and are designed for computer water cooling. AC pumps are generally about half the price of DC pumps, but have drawbacks. AC pumps generate a fair amount of EMI, which can mess things up sometimes (like the image on your monitor gets weird lines). Also, the pump stays on all the time unless you pull the plug, and in order to have it turn on and off with the computer you need a relay kit, which is somewhat hard to setup (requiring you to cut the power cable and attach it to the relay, meh). Good AC pumps are made by Enheim and Hydor and cost around 50 dollars, and good DC pumps are made by Laing (but is oftentimes relabeled as other manufacturers, such as the DangerDen D4 or CoolTechnica AquaXtreme, which are on the inside Laings) and cost around 80.
Radiators are generally either made by HWLabs (famous for their Black Ice series), or are automobile heatercores with modemade mounting. Probably best for a beginner to get a Black Ice.
Reservoirs are just reservoirs. DangerDen sells them, Swiftech sells them. Cost anywhere from 15 - 30 bucks.
Here's how the setup works: The water starts in the reservoir (when you first pour it in), goes down into the pump, pumped into the CPU block and/or video card block if you have one, then to the radiator where it gets cooled, then all the way back to the reservoir. Simple cycle.
Some tips:
Do your homework before you buy! Watercooling is very expensive, around 200 dollars for a decent setup, and you don't wanna mess up.
Do a little test run before actually putting the hardware into your computer (meaning everything out of the case), to check for leaks. You don't want any leaks when you get it in your comp!
Even after you've tested for leaks and have set it up in the computer, check it every once in a while (and frequently during the first week). Anything can happen at any time, better be safe than sorry.
Change the water every month or so, sometimes things build up or start to grow (yuk) inside the water. Putting in new distilled water frequenty will prolong the lifespan of your parts.
And of course, have fun and good luck!!
