POSTing a new system. In 8 steps.

First thing first, check out the casing and wiring. Familiarise yourself with the case construction. Have a suitable workspace available free from clutter. Do not use the floor, as carpet gives off a whack of ESD that will damage electrical components.

Here I have covered my small worktop with aluminium foil. Great to keep the static at bay. The rubber glove is for artificial insemination. Erm, ok, not really! Good for ESD prevention though!
Better to be safe than have a wonky computer.

Put your casing somewhere save for the time being and carefully take out the motherboard from its protective wrapping. Place it on the work surface. Do the same with your processor, heatsink, memory and thermal compound.
Lift up the processor slot arm on the motherboard, align the processor and slot in. Push the arm back down. Apply some thermal compound to the top of the processor to keep it nice and cool. Clip the heaksink on top of the processor. Make sure it is on properly. Don't want it falling off now do we! Make sure the heatsink fan cable is connected to the motherboard
Insert your memory into the appropriate slots.

Attach all the case cables (i.e.. ATX power, CPU Power, case leads) to the correct pins on the motherboard following the pin layout in your motherboard manual.
Get your cables sorted!

We have not inserted any expansion cards yet. Don't bother. If you have any problems it will just make it worse to troubleshoot. Attach your monitor VGA cable to the motherboard VGA output. Don't worry about putting the housing back on the chassis of the case just yet. Plug in the power to the case power supply. Oh yes, my case came with a power supply attached to housing so I did not have to insert a power supply into case. Otherwise that would have been done between step 2 & 3.
Turn it on baby! One beep.. Voila Monsieur!

Enter CMOS via boot (Hit delete key usually) and enter correct time. Check out the system.
Grab a beer.

Once you have finished messing with cmos, save and exit, then power off your creation.
 Finish by putting in expansion cards and hard drives.
Make sure everything is working properly in stages.