Yeah, I agree, don't be afraid or worry. Be confident, but not cocky. Get a wrist strap to make sure you don't blow out a sensitive component with static electricity OR just get into the habit of grounding yourself before touching a sensitive component (like, touch the metal on the computer case to discharge the static electricity). You may make a mistake here and there.. and you'll learn from them. Do NOT get discouraged from a mistake.
Take your time too. Do research on the forums and see what others are saying. If you don't understand the lingo or abbreviations, just ask. Also, always take reviews from various web sites with a grain of salt. Don't ignore them, but try to get the whole picture from several sites on the same piece of equipment. I'm sure many here can recommend some review sites to start. Anandtech, PC perspectives, Tom's hardware, and of course TIMO are a decent start.
Also, never be afraid to ask questions no matter how silly you think they might be. We have all been there.
I agree with others too: stick with quality name brands. But note that the most expensive is not always the best either. Sometimes, the middle is a good choice. Look for a good motherboard (Abit, Asus, MSI etc..), good Power supply (like Enermax, Antec, even Thermaltake makes a good PS with their pure power ones.), and good memory (it does not have to be 'extreme overclocking' memory, just good name brand). Also when looking at hard drives, check out the warranty. Western Digital has 1 year warranty drives, Special edition drives @ 3 years, and the Raptor drives - very heavy duty and have 5 year warranty. Also, Seagate just increased their warranty to 5 years too. Lastly note that there are two Hard drive interfaces now: 1) EIDE (also called: ATA, PATA) and 2) Serial ATA (also called: SATA). EIDE has been around for a long time, whereas SATA in relatively new.
Decide on what platform of processor you want -- AMD or Intel. Both are good and have their pros and cons.
I'd say stay away from 'bare bones' systems. I used some when 1st starting out and had a lot of headaches from them.
Lastly, stick with a reputable reseller. New Egg is a good place to start. There are others too, check out the high rated ones and see what people say about their customer service and returns. It is better to pay an extra few bucks from a reseller like New Egg, than to go with the lowest dealer on Price watch. You get what you pay for in the end.
Everyone here is very helpful too. You can ask around for other resellers that also give advice when looking for stuff (Sidewinder and 1 cool PC come to mind)
And once you get started, you'll end up getting hooked

. And you most likely would not want to buy a pre-built computer again.
Good luck to ya!