Do it one part at a time.
The following is how I do it, but some stuff may be better done in a different order depending on your case and preferences.
1. Start with the case...
A) Attach all cooling fans where they will go.
B) Put the PSU in the case.
C) Put in the hard drive(s) and optical drive(s), if any.
2. With the motherboard (and CPU, CPU cooling, and RAM)...
A) Assemble the CPU into the motherboard and attach the heatsink/fan to it.
B) Put the RAM in.
Now, you have everything into your motherboard besides the expansion cards.
Take the motherboard and put it in the case.
Everything should be in now except the expansion cards. Now all you need to do is get the connections set up (it's easier without the expansion cards in which is why that's last).
3. Connect all of the wires...
A) I start with the front panel (power, reset, power LED, HDD LED, etc.) first.
B) For the PSU itself, start by connecting the PSU to the components. Connect the 20/20+4/24 pin connector into the spot for it (usually the the right of the RAM slots), and the 4 pin and/or 8 pin connector where it goes (usually to the left/upper left of the CPU socket).
C) Connect any power connectors to the hard disks/optical disks.
D) Connect any case fans to either the PSU or motherboard (some do this before the motherboard in).
E) Now that the PSU it setup to power everything, connect the hard drives and optical drives to the motherboard with the data (usually SATA) cables.
4) Now, add in your expansion card(s), if any...
A) Add in your video card(s), sound card, and anything else. If applicable, connect any power connectors to them (like the 6-pin and/or 8 pin power connectors to the video card).
That's the gist of it. I feel like I'm forgetting something, but I'll let others correct me if I have.
There's also this for reference.
Of course, some stuff can be done in different orders, and there's other things you might do differently for preference, but to keep it simple for a first time builder with no exotic hardware (water cooling, etc.), I'd stick to something simple like that.
Originally Posted by wtRiViaL
by the way do NOT plug a 6+2 pin into the motherboard!
6+2 is pci-e power for the graphics card
4+4 is eps motherboard power for the CPU
A 6+2 pin will not physically plug into either an EPS12V or 8-pin +12V rail CPU connector (unless you really force it maybe).Edited by Princess Garnet - 4/1/11 at 10:46pm