Sure!
Actually thats a pretty general question, some more specific ones would be nice- you can start by reading some of Anand's articles, there are tons of reviews that discuss the advantages/disadvantages of many CPUs and motherboards and other stuff. An excellent place to start is the buyers guide:
Value buyers guide
or the
high end buyers guide(somewhat outdated but an update is probably in the works)
You should first decide what you will be using the computer for and about how much you are willing to spend, if you let us know that it will help narrow things down.
Then you can pick a CPU, whether its Intel or AMD, and what speed and type(P3/P4, Duron, etc)
The CPU you choose will only work with certain chipsets(the main, "traffic controller" chip on a mainboard), and when you have picked a chipset then there will be several motherboards that utilize that chipset to choose from.
Then its on to all the goodies like a case, drives and a monitor and stuff, those aren't usually as hard to choose
I built a computer for the first time just 4 or 5 months ago, it was pretty easy even though I didn't have anyone right there to show me what to do. The hard part is picking everything out, the physical assembly can usually be figured out from the various instruction manuals.
if you've never built a computer before, doing all the research can seem like a daunting task, but hopefully you'll have fun doing it, and probably everyone here would agree that the end resuly is well worth the effort
good luck and keep posting
Andy