The main components for a gamer will be the MOBO, CPU, and the video card. I could really fire up the fanboys on the which one to choose so I will let you do your research on them. When your ready to make a purchase I recommend you look at Newegg. They offer good tech support but they will not walk you thru it if your a total noob when it comes to the build.
Loading Windows is not the hard part as long as you can read and answer a couple of questions. The hard part comes when you have to load the drivers for the components you choose. I can guarantee you that the drivers on the CD that comes with the component will be out of date and the best thing you can do is to have another puter ready to download the latest drivers then burn them to a CD or DVD. I recommend that you load the motherboard drivers first, then video drivers, then the network drivers, your audio drivers if you buy a separate audio card and anything else that will require drivers. Windows loads generic drivers for the keyboard, mouse, hard drive and CD\DVD. If they come with a driver CD its worth a look at them and see if you like the extra feature they might add. Just remember that the drivers are going to make or break the system.
I do recommend that if you have never done this before that you do a LOT of research on what your getting yourself into. Make sure you handle the boards correctly and follow anti static procedures to the letter. Bob is right when it comes to the heat sink compond. That is the one area I see a lot of noob miss or skimp on. Buy the upper grades and make sure you apply it correctly. It will save you money down the road.
In the end, if you do it right, and follow the correct procedures you will end up with a much better system then you can buy from any brand name company out there. The best thing of all, is you will not have any bloatware or corporate spyware if you choose wisely.