It's a good idea to install everything you can onto your motherboard before you fit it in the case, so start with the CPU. We're using an Intel Core 2 processor, which doesn't have any fragile pins to break. Just pull up the latch on the board, raise up the metal lid, then fit the processor in. There are notches on it that match the socket, so you can't get it wrong. Then, lower the lid and clip the latch back on. If your processor came with a fan and heatsink, there'll be some thermal paste already on it - just peel off the protective label and fit the heatsink securely over the exposed area of the CPU.
There are four plugs on each corner of the heatsink, which need pushing inwards and rotating 90 degrees to lock into place. If your cooler doesn't have any thermal paste, you'll have to get hold of some (try www.chillblast.com). Apply a rice grain-sized amount onto the CPU and squidge the heatsink down firmly on top of it, rotate it in place a couple of times, then lock it down as above. Finally, plug the fan's power lead into the corresponding plug on the motherboard - you'll need to refer to the board's manual to find it.
2) Power Supply
It's often best to fit the PSU into your new case before anything else, though you'll have to move all the cables out of the way to fit the motherboard in. It goes into the oblong gap at the inside top rear of the case, with the big three-pin socket and the power switch facing away from the case. There are then three plugs that need connecting to the motherboard: a wide 24 pin one, a square four-pin one and a wide four-pin one. These should be pretty obvious, but the motherboard's manual will tell you exactly where they are if you're a weeping wreck of confusion. Once all the other components are installed, check they're all rigged up for power if they need it. If you're running out of plugs on the PSU, many components come with splitter or adaptor cables, or you can buy more from www.maplin.co.uk.