Here's what you need:
- Motherboard
- CPU
- Video card
- Power supply
- Memory
You probably already have:
- Hard drive(s)
- CD/DVD drive(s)
- Case
- Mouse, keyboard, etc.
Building machines is fairly simple now. Things like network cards and sound cards are integrated into most motherboards. All you have to do is plug in a cpu, video card, and memory, connect all the cables, and that's about it.
I'd suggest looking for an AMD cpu (Opteron's are great if you can get ahold of one, otherwise go for some of the other 64bit processors), a motherboard with the nforce4 chipset, and a geforce series PCI express video card (7800, if you can afford it, if not, work your way down -- try to get at least a 6800). I'd probably start with a single 1 gig stick of ram and save up for a second, so you can run it in dual channel.
For the power supply, I think you need at least 500W. Try to go with a quality brand like seasonic. Cheap power supplies can fail and potentially damage the rest of your components. The memory doesn't matter too much, in my opinion. The quality/price ratio isn't that great. Just grab some Kingston "value ram" or something like that. Quality ram is really for the overclockers.
I'd suggest visiting
http://forums.anandtech.com -- there are always people in there asking for/giving advice on budget gaming systems. Also, the hot deals section can help you find good prices on various components.