Go ahead and look here:
http://www.overclockers.co.uk/productlist.php?groupid=701&catid=1428&subid=2363
Choose some filters for your intake fans (DemciFlex are expensive but very good).
If you want to watercool your cpu, you can just install AiO cooler like Corsair h80/h100 or smililar (with radiator located at your case's intake so cold air from outside is pushed thru radiator inside the case, you still need the dust filter outside).
Some cases have a lot of openings apart from fan sockets, you can seal those if you have good enough airflow and save yourself cleaning the dust from inside the rig.
Custom loop can quickly become expensive, as Robert said.
As an example I can show you what's going to be inside my rig and you can build new PC for that:
YOUR BASKET
1 x
OcUK Tech Lab - XSPC D5 Vario Pump & XSPC Acrylic Tank Reservoir Value Combo £99.00
3 x
EK Water Cooling FC Titan & 780 SE (Original CSQ) GPU Water Block - Nickel £85.99 (£257.97)
3 x
Hardware Labs Black ICE Radiator GT Xtreme 360 £79.99 (£239.97)
1 x
EK Water Blocks EK-Supremacy Clean CSQ - Acetal £49.99
3 x
DEMCiflex Dustfilter Set for 360mm Radiator - Black/Black £19.99 (£59.97)
12 x
Enermax Magma UCMA12 120mm Fan £9.98 (£119.76)
Total : £836.33 (includes shipping : £8.00).
Something like this, plus there are few pieces I already have and are not listed here. Of course that is an extreme example.
First question you have to ask yourself is: Are you going to be overclocking a lot?
If not, there is no need to build a custom loop or watercool at all.
Just get a big air cooler with 2 good fans in push/pull.
I can recommend this one, with these fans. Just make sure it fits your case and does not obstruct your ram:
YOUR BASKET
1 x
Prolimatech Black Megahalems CPU Cooler £52.99
2 x
Akasa AK-FN058 Apache Black Super Silent 120mm Fan - 4 Pin PWM £9.98 (£19.96)
Total : £82.56 (includes shipping : £8.00).
This and filters on intakes/exhausts and you will be fine.
Anyway, what's your PC?
Go to overclocking section and download a small program called Core Temp, then post your CPU temps here, then we can advice you if you need any changes at all.