Parts you need to buy
1. CPU
2. Motherboard
3. RAM
4. Graphics Card
5. Power Supply
6. Case
7. Hard Drives/Solid State Drives
8. DVD or Blu Ray Drives (optional)
9. Keyboard
10. Mouse
11. Monitor
12. Speakers
13. Operating System
First things first. Figure out a budget for the build. There's a big difference in picking parts when the budget is $1200 verus $2500. Second, understand that any pieces pick now may not be the same price or available when you do save enough money to spend on a build.
Read tomshardware.com, anandtech.com, and I'd even say MaximumPC and PC Gamer; the latter two magazines may have info about how to build a PC.
Compatibility is the biggest thing; the only way you will understand and learn it is to just read the websites and magazines about how to build, and about the parts. So before you get ahead of yourself, pause a moment, think about how much you realistically want or can spend, and just start reading articles about computer parts and how to build PCs. Once you got that done, you would hopefully start having an idea what kind of computer you want, how fast you'd like it to be, etc., and we can give you advice from there.