Read the manuals familiarize yourself with the instructions for the MB, PSU, this will save you ALOT of headaches when you do hit that power switch the first time. Many people jump right into slamming the parts together and never even crack the manuals, most times it is ok.....sometimes it's not, so look at them especially the areas about the power hookups and ram installation and drive configurations, ram timings and voltages, as these are the things that bite folks in the ass, and then they panic. I say this NOT to be mean or snippy, but from years of experience at helping friendds who have jumped in without a care in the world or a clue what they were doing. If you do it right the first time it makes for a great feeling and sense of acomplishment.
Make sure you discharge any static electricity BEFORE you handle any parts. Wrist strap hooked up to ground is nice. Also, install your cpu and heatsink before you put it in the case, place it on the anti-static bag it came in on a nice level flat surface, it makes it much easier to get it aligned and placed. Also it is easier to put the ram in while it is out of your case....more room. If ya get an aftermarket cooler for your cpu mount it while outside of the case. Then make sure and double check your standoffs to be sure they match up with the mounting holes in your motherboard. Then make sure you connect all the correct psu cables to the correct connectors. TAKE YOUR TIME, do not rush it, double check everything.