After unwrapping it all (which, I admit, felt like Christmas), the first step was to put the processor and its fan on the motherboard, as you can see pictured (click the pictures to see them larger!). Make sure to place the motherboard on the anti-static bag it came in, and to ground yourself by touching metal somewhere. Don't be afraid of being shocked, it is a very small possibility, but it pays to be safe. The fan on the left in the picture is secured on top of the processor, which is in turn set into the motherboard by many, many small delicate pins. Explanation of how this all works should be in your processor manual. It's important to be careful at this stage, including with the fan. If the fan is not secured properly, the processor can easily overheat, which can lead to all kinds of nasty things--though thankfully, computers are built to shut down immediately if this ever happens.
As you can see in the first picture as well, the RAM is connected. The black sticks above the fan are snapped into matching-colored slots (this is important if you want both sticks to be recognized). If I want to add more RAM in the future, I could add it to the other two slots. The only thing left to plug into the motherboard other than wires is my graphics card, which will be installed after the motherboard is put into the case.
Now, let's turn to the case. It's a really nice one in my opinion, with holes to help organize cables so they don't get too messy, and slide-lock compartments for the optical drives (DVD drive and such). The cables you see in this picture come this way. The ones on the far left and right are for the front and back fans, and the ones in the middle are for the power button, reset button, front USB slots, and everything else on the front of the case. These in particular will all be plugged into the motherboard.
First, however, the power supply must be attached to the case. It slides into the space in the bottom left corner of the case, with all the cables pointing inside, as shown in the picture to the right. Since this case allows you to nicely arrange cables, all of these can be pushed through a hole in the back (from this perpsective) of the case, and pulled back through to the front where needed. At first I didn't do this, and realized later it would be much neater, and so rearranged it all. Don't tase me, I'm a bit of a perfectionist.
The following steps can really be done in any order, whatever is easiest. I have attached only one cable in the above picture, the power cable for the motherboard. Following this, I attached the graphics card, which I put into a PCIe slot (I chose the dark blue one, the second slot from the top in the above picture). It slots in there, and then is screwed onto the back panel on the left, after unscrewing two of the pre-attached panels there. Following this, the puzzle of attaching cables commences.
On the right is a picture of all of the cables connected (after I rearranged the wires neatly--yes, this is neat), but I will list the steps I went through. As you can see, the huge graphics card is attached in the middle. After this, I plugged in all of the power cables. These cables are very difficult to break, and some you have to be forceful with to plug in! Don't be afraid to do so. Not all of them will be used, depending on your choice of components, but most of them will be. Any plugs that are the same shape are put on the same cable, which makes it easier. There are connectors for the two fans on my case, two other plugs that connect to the motherboard (one is for the USB slots in the back), and the DVD drive and the hard drive (which I will explain separately). The ones that connect to the motherboard will be explained in its manual, and they have different shapes, so don't fear that you'll get them mixed up.
The hard drive is attached, in my case in any of the bottom left slots, and it gets its own power cable and also a cable called a SATA connector. Your motherboard should come with these cables. They are what the data flows through, from the motherboard to the hard drive, so in turn, that is where the cable connects. On my motherboard the SATA plugs are on the bottom right. My motherboard comes with two different types of SATA ports--3Gb/s and 6Gb/s. I plugged the hard drive into the 6Gb/s port. The DVD drive is inserted into one of the slots at the top right, and my case is very nice in that I can simply slide it in and lock it in place (as you can see I did on the very top slot). It also gets a power cable, the same type of plug as the hard drive, and a SATA cable. I plugged it into a 3Gb/s port.
Finally, the cables for connecting the case's front panel should be attached. The skinny multicolored cables can be the trickiest, but they should be explained in the motherboard manual. Make sure to plug them in the right direction. Apart from those, there is a SATA connector for the front panel (which I plugged into a 6Gb/s port) and a USB connector for the front panel.
Assuming everything is plugged in securely, you should now be ready to plug in the power! After putting the case cover on, the monitor, keyboard, speakers, and main power plug should be plugged into the back of the case. You can also plug in your Ethernet (internet) cable if you plan to use one. These should be straightforward, since again, they have very distinct shapes and colors for each plug. After positioning everything as you want it, now for the moment of truth... turn it on!
At first, nothing showed on my monitor, and there was a brief scare that something was faulty, but I turned it off, re-checked all my cables were secure inside the case, turned it on again, and it worked. After making sure the screen shows something about installing an operating system (your computer was pieced together successfully!), you want to either put the CD/DVD or USB stick containing your preferred operating system into the computer and restart it. From there, it's all software installation, which is another beast of its own, and I won't cover it here. Make sure you understand partitioning your hard drive, but don't worry, it's a simple thing easily looked up online.
And, the finished product! There's usually a mess of cables at the back, and some people tidy these up with cable ties, but I didn't bother. The box at the bottom is my speaker subwoofer (I forgot how fun they are...). My mouse is USB-powered and wireless, and my keyboard is also USB-powered, but wired. My motherboard did come with a connector for old-style keyboards and mice, which is a nice thing to have, in case your keyboard breaks or you have to (or want to?) use an old one.
This wonderful machine can smoothly play any game out there at full graphics (or at least any one that I've installed, including Skyrim on "Ultra" graphics), but is also a very nice, comfortable space to work. I've installed dual-boot Windows 7 and ArchLinux (if you want to know why I chose ArchLinux, that is a discussion for another time), but the system allows me to separate work and play pretty effectively, since I haven't really installed games on ArchLinux (apart from Sauerbraten...). All in all, I am very happy with my choice of components, and will hopefully enjoy this beast of a machine for years to come.