There's two tricks to installing a motherboard.
1) Install the powersupply first.
2) Make sure the standoffs are lined up with holes. Move them around if needed.
Installing a CPU and heatsink/fan isn't difficult (buy a retail Intel or amd cpu kit which will include standard heatsink/fan, thermal paste, and instructions).
You should be able to piece together a low to mid end system sans kb, mouse, and monitor for $500-$1000. Mid to upper mid $1000-$1700. And up from there for high end.
If you're going to stay on the low end, I'd buy a premade system from Dell online or a dell or acer from a local retail chain. Stay away from HP and compaq. You won't be able to save too much building it yourself and you get some warranty/service benefits going this route.
If you're going to go with a mid or better system then you can save substantial money ($300+ easy) building it yourself.
Also, call around to local computer shops to see what they can do for you. You may pay a little bit of a premium but the pre and after sale service will likely be better than you'll get from other vendors and you're supporting local small business. YOu can also specify certain parts if you want to and they'll work with you in a way none of the others will, short of building it yourself.
As for Microsoft OS licensing... Here's the rules o' thumb:
1) If you think you'll ever want to move your OS installation to a new computer in the future (new computer means a new motherboard and/or HDD), buy the full retail, non upgrade version of the OS. You'll pay a premium for this version (often in the area of 2x OEM or upgrade price) but it offers you the most flexibility in the future.
2) If you don't expect to be putting together a new system before you upgrade the OS again, then stick with an OEM or upgrade version of the OS. This version means you can not install on a new system in the future (the OS is tied to the computer it is first installed on). If you suffer a motherboard or HDD crash then you will be able to talk them into renewing the license for another installation, but it will likely require talking to them and groveling a little bit.
Such is the cost of a half price version of the OS.
If you want to play games, go with Win7 Home Premium 64bit. If you want to stick to productivity type uses you can stick with XP (might save $50, or you might not save anything since Microsoft aggressively prices new OSes to dealers/OEMs to encourage Win7 sales).