Building your own computer is definately the way to go as you can pick and choose every componernt for the sys.
As stated, there are plenty of tutorials to explain everything to you.
Just a couple of comments for your first build.
1) Check and double check every connection before powering up for the first time.
2) If it doesnt POST the fist time, don't panic!
In the vast majority of cases, it is only something you overlooked and not bad hardware.
3) It is all fairly simple and once you do it, you will never buy a pre built sys again.

BTW...
I usually build a sys as follows:
1) Get a good idea about what CPU an MOBO you want.
2) Decide on a case and Power supply.
3) determine what RAM to get acording to what MOBO you decided on.
These are the basics and all the other hardware needed