If this your first time assembling a PC from components, I strongly suggest that you put the components together in stages. This will minimize potential damage and maximize troubleshooting any issues. Power down after each step!
1) Install the motherboard and power supply in the case, but do not connect the power connectors. Power up the power supply and use a voltmeter to check the voltages.
2) Do NOT install the CPU, memory or cards, yet. Connect the power supply connectors to the motherboard, power up, and look for smoke. The moment you smell anything, power down and review your motherboard installation for possible shorts with the standoffs.
3) Install only the CPU and the cooling fan. Don't forget the silicon grease! Connect the case speaker to the proper connector. Connect the fan to the proper motherboard connector. Power up and check that the fan is turning. If everything is good so far, you should hear a beep code from the speaker which indicates that the CPU is running.
4) Install the graphics card and keyboard. Connect the monitor. Power up and check that the BIOS displays error information.
5) Install one of the memory cards, power up. Check that the BIOS recognizes the memory.
6) Install the remaining memory cards. Verify that the BIOS recognizes the total memory installed.
7) Install and connect the hard drive data and power supply connectors, Verify that the BIOS recognizes the type and capacity.
8) Ditto for the Blu Ray drive.
9) Install the remaining cards.
10) Install the operating system and enjoy your accomplishment!