Yes! It's cheaper to build it yourself. As far as how, well, there are a lot of tutorials, walk through and videos online that can help you through every little step of the process. Just ask google. Now as for our suggestions, is the ~580.00 dollars your price range or ?
It looks cheap, but I wouldn't purchase that. It only has a 2.0GHz Dual Core processor, and that is hardly enough for an AMD for CoD4. I believe Intel requires 2.2 Dual (at least, according to Wiki and Steam). I'd also search for an 8800 or 9800 card if you are looking for something with a little more kick.
Im trying to save up like next year i could build a computer which i could use a 9000 gt And i could build it my self and get a great ram and processor with mother board...
That second one is alright for a lower performance gaming computer. The first link is just crap. For that cash you can build yourself a much better rig.
A computer I just built for a client. Note, I have down 4 sticks of 2gig RAM since the client is running Vista. Take one of those off (for 2 sticks) and you have a complete system sans OS/HDD for slightly over 1000$.
Edit: If you don't already have your own OS (if you're a system builder like me) or your own HDD, it might be better to go with a pre-built system. With a decent HDD and Window Vista (even OEM), it would bump the price up to prolly 1400$ or so.