Do you mean a gaming computer? CPU means Central Processing Unit, aka the Processor. It's the brain of the PC. If you want to learn from the beginning how to build a PC, there are a few guides on this site.
The parts you need are:
Processor, Motherboard, RAM (Random Access Memory), Storage (Hard Drive), GPU (Graphics/Video Card), Computer Case, Power Supply, and a mouse and keyboard to use the computer. Yo may also need a disk drive to install an Operating System (Windows 7, Windows 8, Linux, Mac OSX, etc.)
Here is a YouTube video series that will tell you all you need to know:
http://www.youtube.com/watch?v=lPIXAtNGGCw
Good luck!
PM me if you have any more questions!