What is hard to understand? Today you need to start with a chassis. From there you add a PSU over 300W. (I highly suggest you do no buy a Generic PSU, for they are cheep, but burn out quickly)
After that, decide if you want a Intel or AMD processor. For gaming, I suggest AMD.
Then get a motherboard from ASUS, or another motherboard maker that has a motherboard compatible for your CPU. I also would like to point out that you should get something that supports 8xAGP.
Then you want some memory. I am getting new kingston sticks soon, but what you get is up to you. Low-end pc2100, or high-end pc3200.
Then you get your Harddrive, Floppy drive, and your DVD/CD player/burner, and any other do-dads you want.
Next step is to buy a graphics card. ATI or Nvidia.
I prefer ATI, and have a Sapphire Radeon 9800 Pro. (XT is well, too expensive)
If you don't feel comfortable installing this hardware I suggest you seek professional asstiance from local computer stores or friends.
Oh, and one more thing. You should wait until after the summer for a new computer. PCI Express will be out and will defidently be worth buying. You might even wait until christmas for the prices to drop.
Finally, this is an awsome website for benchmarks and whatnot:
www.tomshardware.com