Connecting wires is normally not too bad.
In building your pc step 1 should be normally to plug in the cpu, HS, and memory. (I do this before fitting into the case) plug the wires for the HS into the relevant wire slot on the motherboard. Dont worry itll only fit the fan slot, and there will be one labled for the CPU heastink.
Step 2: fit motherboard into case.
This is where you may want to check all of the screw towers that your motherboard is sitting on. If any of those do not line up with a screw hole. either remove them or cover them with a teflon cover, or other suitable insulating material. Basically you can earth the board if one of those is touching something it shouldnt. If they all match up with screw holes on the motherboard your ok.
At this point its normally good practice to slot in the case wires (the ones that connect to your on switch on board speaker hd light and the rest. including all the fans in the case)
Step 3: some cases it is easier to fit the PSU after the motherboard, others you want it fitted before... either way at this point you want to start hooking up the PSU wires to there correct spaces.
In your case it will be easier to go back to this point where you have nothing in your PC except the motherboard CPU and ram.
You should have a large connector from the PSU to the motherboard and also a smaller one. The smaller one will either be a 4 pin plug or an 8 pin plug. Cant remember what you will have/need for that motherboard. Plug those in.
Now once your happy you have the right wires connected (it shouldnt be too bad as connectors are made specifically to fit the right bits. So there shouldnt be any problems plugging the wrong things in)
The light on the motherboard is just telling you the motherboard is recieving power. Of course I should ask what are you doing building a PC with the PSU plugged in and switched on... However I do hope you are turning it off and unplugging when adding anything/working on the computer.
Press the power button on the case. If everything is hooked up correctly you should see everything start up to life and a motherboard making several beeps becuase it doesnt have hard drives or graphics cards.
If that step is ok, in that all the fans come on its ok. You can move on.
If it isnt then you need to figure out what isnt connected properly.
I always have trouble figuring out which way round to connect the case HD lights, Power light, power switch and reset switch. Some of them wont matter, but some of them do I have found. One of those the wrong way round can cause your pc to do nothing. So work out which one is pin one of each wire, and wich one is pin one on the relevant motherboard spaces. Then curse the case manufacturer for not using a standard block to fit to the motherboard.
Step 4:
If thats all working put the graphics card in, connect all necessary power connections. Switch the computer on, does it still all work.
If not try and reseat the graphics card, find out what it could be and try again.
Step 5: fit hard drives and any soundcards...
Step 6: install windows.
Other issues. I have had to reset the CMOS on one build. For some reason it wouldnt do anything until I had done that.
And yes when you have every component in there and start connecting wires at the same time its really fiddly, thats why I suggest you do it a bit at a time.
When youve finished you have the fun of trying to figure out just how to make the wires tidy...
Wish the front drive bay on the XFI cards didnt use a flat ribbon cable. Stupid thing, doesnt creative know that us fanatics all moved to round cables years ago.