Hi there and welcome
First, good on you for trying it out, it is a bit of a confusing world when you start out for sure.
The first thing I would suggest you do is have a look at
this build guide thread. It is written for a slightly older platform (X58/ 1st generation i7) but pretty much everything in there applies to current generation builds. There are also a lot of very informative PC build guide videos on yourtube which are worth a look.
If you run into an abbreviation or saying you are unfamiliar with then this "
OCUK Dictionary" may be able to help you. If you find something that isn't in there then please let me know.
In general terms, building a PC is relatively simple these days as most components are standard sizes. For example cases, motherboards and power supplies (PSUs) are made to "ATX" standard, therefore if you get an ATX case, motherboard and PSU then you can be confident that it will all fit together.
For the CPU, this is probably the component you chose first and then buy the motherboard to best suite it. At the moment the main sockets are AMD AM3, AM3+ and Intel LGA1155 and LGA2011, you need both the board and CPU to use the same socket for the system to work (the motherboard also needs to support the particular CPU, which is checked on the motherboard's website).
Things get slightly trickier with graphics cards, as most cards use dual-slot coolers and are relatively long - you need to check that the case you want is big enough to accommodate the card (this is usually advertised on the case's website). You will also need to check that the PSU you get is powerful enough to supply your graphics card (as well as the rest of your PC components) - for this tools like
this PSU calculator are useful.
With RAM (system memory) you need to make sure you get a kit which is compatible with your motherboard. At the moment this is relatively simple as most platforms use the same DDR3 1.5V RAM. Also you are are best off looking for RAM sticks with "low profile" coolers - as they are generally good value and don't interfere with large CPU coolers (which RAM with large heatsinks tend to do).