Read a book on how and what to piece together. Your first goal should be to purchase components that are compatable. This again can be done by doing a little google researching and reading the specs on each component. Also make sure every component is Vista ready (it should be if they are new).
Second is to put it together. Again i would suggest reading a book because you could very easily destroy a 60 dollar piece of ram or 150 dollar processor by misshandling it. So read again.
THird is the boot and install. I would first startup the computer and ensure you get a clean post. Then enter the bios and make your DVD rom the first boot device, followed by your hard drive.
Fourth is place your Vista disk into the DVD drive and restart the computer. It will say press any key to boot from CD, then obviously press something and follow the steps to install Vista.