jeez yall havent really helped this guy much, he sounds new to this whole setup and the best advice ive seen was pointing him towards anandtech's guides and ike's post
heres all the parts you will have to have:
motherboard
CPU - intel or amd, though amd is better for gaming, make sure you check what socket type yours uses, it must match your motherboard in order to work!
videocard - forget pci(too slow), look at agp(getting old), or the new and fast PCI express(PCIe), these are the slots on your motherboard that your videocard plugs into, your videocard must be the correct "slot-type" to fit of coarse!
hard drive
ram
case and powersupply(aka PSU)
monitor, keyboard, mouse, and operating system(like windows)
*note* you should buy the minimum you can afford up front, then buy all the fancy extras later on. recycle ANYTHING you can for free!! (monitors, OS's and such)
note that NOT every part will work together so make sure your full setup is compatible before buying anything
here's what i would recommend:
CPU - amd athlon64 goes from 2800+ to 3700+(i think) range...budget yourself and buy the best you can
videocard - ATI or Nvidia brand cards - ATI Radeon9800pro or xt(cheapest), Nvidia 6800 GT or Ultra (mid-range), Nvidia 7800 GT or GTX(high end!)
hard drive - if you wanna start small and just have enough room for windows + some installed programs buy small(40-60gb) and then buy a second hard drive down the road for more storage)
ram - look for a good brand, i recommend OCZ, corsair, or kingston...you may wanna ask seperatly about good ram speeds and such but 512 - 1gb of ram should do you for now
case and powersupply - personal preferece but make sure your power supply is strong enough to support your parts, some cases come with PSU's but those are sometimes cheaply made. consider buying a good one seperate.
if you dont already have them:
monitor - samsung 997df (crt monitor) id stay away from lcd's unless you like bad color and saving space

keyboard - these are cheap, buy whatever i have an Aopen brand black kb and i love it
mouse - pretty much anything logitech will be your best bet
operating system - windowsXPpro, stay away from windows x64 edition until you get more familiar with your computer.
best places to buy parts:
www.newegg.com - my favorite, has great user reviews on all parts, free shipping on ALMOST every item, and delivery is 2-3 days max (only in the US i beleive)
www.zipzoomfly.com
www.tigerdirect.com
just keep reading up, dont take any one opinion too strongly, buy whats best for you and enjoy!