A nice analogy for AMD and Intel processors is a shovel.
Think of AMD as a shovel with a gigantic head; it can move tons of soil in one go.
Think of Intel as a shovel with a tiny head; it can move a small amount of soil in one go.
In order for the small headed shovel (Intel) to move the same amount of soil as the large headed shovel (AMD) it has to move a lot quicker, which is why a 1.8GHz A64 is roughly the same speed as a 3GHz Intel processor.
Graphics cards, sound cards, RAM and hard drives are easy to install.
Graphics cards slot into a PCI-E or AGP slot, and may require you to connect them to the PSU.
Sound cards just slot into a PCI slot.
RAM just slots into the memory bays.
Hard drives require you to connect them to the IDE/SATA slots on your motherboard, and connect to the PSU. You have to set the jumpers as well.
Processors are the only hard things to install really, since they install in multiple steps.
When you turn on your PC, you can just go into the BIOS and tell it to probe for hard drives, etc, and it should autodetect them.