This is for the CPU alone, peripherals are excluded.
I'm guessing you're using the term "CPU" to describe what I'd call a "computer base unit". That's the main part of the system, excluding the monitor, keyboard and mouse.
A CPU (Central Processing Unit) is a specific part of a computer and in a gaming system running Microsoft Windows, you'll typically pick an Intel CPU or an AMD CPU. The choice is up to you.
This is an Intel CPU mounted in a socket on a motherboard, before the cooler is attached.
This is an AMD Ryzen CPU mounted in a motherboard before the cooler is attached.
Before you "jump in at the deep end" I suggest you look at a few online videos decribing how to build your own PC, then decide if you feel sufficiently confident.
Other people can probably put together a parts list from the web site you've chosen and 3500 Malaysian Ringgit (US $786 for those of you in the USA) should buy you a reasonable system. Not top end by any means, but OK for 1080p gaming.
My only concern is that if you've never assembled a computer yourself, it's important to take great care when inserting the CPU into the socket on the motherboard. If you drop the CPU, you can end up bending tiny little metal pins in the socket and you've probably ruined the motherboard. Most suppliers will not replace this type of user damage in a motherboard.
Apart from choosing Intel or AMD, you also have to pick a GPU (Graphivs Processing Unit), also known as a Graphics card. Some CPUs have a built-in GPU but they may struggle with some games. Other CPUs require a separate Graphics card which you plug into a slot on the motherboard. Here is a fairly large MSI GeForce GPU card. GPUs can be expensive!
On a gaming system, you'll need a reasonably powerful GPU, to cope with modern games. Check we sites for your favourite games and see what the miniumum recommendations are for the GPU and CPU. At 3500MR, you won't get a top of the range CPU or GPU. You'd need to spend at least 10,000MR, possibly 20,000MR!
Other people might be able to put together a PartPicker list which you could transfer to your local supplier's web site in Malaysia.
Could you give us an idea of what games you'd like to play? P.S. I'm not a gamer.
You might do better buying a pre-built system, but you could end up with a heap of junk with no upgrade options at a later date. Building yourself is more fun, but you could end up with a heap of damaged parts due to inexperience. Take care.