The CPU comes in two major parts, the chip itself and the Heatsink/fan assembly (HSFA). When you buy a motherboard, you want to make sure that the CPU socket will fit your CPU, and as to actually putting it together, it's notched so it can only get in one way, and then you lock it in and latch the HSFA on top, and then plug in the fan's power cord to a slot on the motherboard. That part itself will be obvious, and there will be instructions on how to do that with the hardware.
Now the graphics cards nowadays go into PCI-Express slots on the motherboard (PCI-E). Most high-end cards will also have a 6-socket power port where you plug in a cord straight from the Power supply (PSU), and those cables will be provided with your power supply if you buy the right one (look at the cabling information when you buy the PSU, make sure it has PCI-E outputs).
Now when it comes to wiring you've got two main wiring sets - the power supply's cables to all the components of your computer, and the case's wiring to your motherboard (power button, lights, fans, etc). Typically the fans on your case will have these four-prong rectangular power slots (don't know the precise names), which nearly all PSUs have. There will be lots of one or two-pin wires that will go to your motherboard, and your motherboard instruction manual will tell you what goes where. There are also SATA power ports that go to things like your hard drive, dvd drive, etc, and those will most likely be included in your PSU kit when you buy it. There is a 20+4 (or 24) main power connector from the PSU into the motherboard. This is one of the main power connectors, and you want to make sure that the motherboard you buy and the PSU you get have the same number of pins on this cable (just about all new motherboards and PSU use 20+4, but some old ones use just 20).
Now, some specific buying advice:
DVD drive, hard drive: For the DVD drive, you'll probably want a read and write drive, also a fast one at that. There's a Samsung drive that costs about 20 bucks that'll do everything you want it to (can't remember the part number, sorry). You'll want to have a drive that takes a SATA connection, as it's less bothersome than an IDE connection. Same goes for the hard drive. Remember, when it comes to gaming, speed > space. Consider getting a smaller, faster drive to game on and a big drive for storage. My current set up has a fast 250 gig drive for the main, and a 1 TB hard drive that's a bit slower for data storage. Again, here, you want SATA connections to the motherboard.
Motherboard: There are a few really good mobo manufacturers out there. I prefer MSI myself, but many others swear by ASUS and others. Again, make sure your motherboard has the right CPU socket, and make sure that it has enough SATA ports/PCIE slots for all your hardware. If you're going for ATI cards (which you should be), you'll want 2-4 PCIE slots in case you want to take advantage of Crossfire, which can go up to four cards total. You'll also want a few PCI slots for things like TV tuners, sound cards, wireless cards, etc.
CPU: You're probably gonna get the i7. Make sure you don't splurge too much on it, because the cheapest i7 overclocks really well, so there's no reason to spend a few hundred or so more on a CPU that's not gonna deliver extra performance (One of my friends has an i7 platform, and usually get's like 10% peak CPU usage on Left 4 Dead, no overclock). If you want to get an AMD chip, you're gonna want a Phenom II. Here price should rule more than performance; as of now CPU is not really a huge issue on gaming. I have a Phenom from a year ago that does just as well as an i7 where it matters. I even have friends that are fitting Core 2 Duos and they still get really good performance.
Graphics: A year or so ago if you wanted the best of the best, you had to go for nVidia. Now that's been reversed, and ATI has the best cards on the market. DX11 is coming soon, so you might have to make a judgment on whether or not you want to invest in a (currently expensive) 5870 versus a slightly older (yet still quite valuable) 4870 or 4890. If you really want to hurt the environment, you could go for the 4870x2 (which is basically two 4870s glued together); it has a huge power draw (200-something watts), but still delivers great performance. The main reason why you want an ATI card over nVidia right now is that ATI is doing GDDR5 video ram on their cards, which is a hell of a lot faster. Also, for high-quality games played on high resolution, you want a lot of video RAM, like a gig or so.
PSU: This is one of the most important purchases you make financially, because the PSU is the single most unreliable component you can buy. The PSU fails more often than any other part in the computer (at least in my experience), so you want a high-quality build and a good warranty on it. I would go for a Thermaltake PSU myself; they have a good reputation and they even make a 1000 watt model if you're running an intense setup (like 4870x2 or more).
Case: Here's where you can tell the smart gamer from the show-off. The case is probably, long term, the most important part of your computer (besides your PSU), since it is responsible for keeping all the components cool and undamaged. You'll want a case that has a really good airflow, with a lot of fans to keep everything cool, but you'll also want a quiet one. Don't buy a case with a see-through side panel with flashy LEDs unless those LEDs are attached to a big-ass fan. When it comes to specific brands, the name that gets the most recognition is Antec, because they make sturdy cases with silent and cool fans. The 900 has two huge-ass fans on the front to blow over the hard drives, a 120mm wind tunnel on the top blowing down, and a huge side fan to blow in from the side, as well as fans in the back for exhaust. It's probably one of the best you can get. Now, some of your cases you look at might come with a built-in power supply. If that PSU has a good warranty and puts out enough juice, you might go ahead and keep it, but if not, don't panic, because you can remove it and mount any PSU you want.
RAM: You'll want 4 GB if you're not running the i7, 6 if you are. You can always go for more RAM, and you might as well, since it's so damn cheap (I'm running 8 atm). There are two main kinds, DDR2 and DDR3, DDR2 goes with everything but the i7 and Phenom II basically. It's important to get fast RAM, because a shit ton of space doesn't do anything if it can't keep pace with your game action. RAM speeds are given in the format PCxxxx, where xxxx is a number. PC6400 is generally considered good, and higher means faster, which is better. Brand wise there are a bunch of good manufacturers, I'd go with Corsair personally but it's hard to go wrong.
That's about all I can think of right now. Let me know if you need any more help.
