Well, you have a good start. Since you're new I might suggest starting with a build you see on this or another technical sight you trust. You can then modify that build to better meet your needs.
Ok, myself I have always thought the E8500 as kind of a "sucker chip" for the fact the E8400 is significantly cheaper, and it's perfect for a nice mild over clock of 3.6GHz @ 1600 fsb. Take a few minutes is all and move up your fsb to (9 x 400) and your there. Anyways this build includes a 4890 vid card, a modular psu, a decent case with good airflow/ventilation/cooling. That heat sink comes with great thermal compound and it's perfect for the above mentioned over clock.