Yeah, I know what you mean about that first fire up. I was excited and nervous at the same time. I was lucky, all my compents were compatible and I didn't get any "dead" parts, so the first fire up worked like it should.
For my first build, I read several "build a pc" guides and searched forums for answers to the questions I still had. Then I started building. I liked legos as a kid, so that might have helped some

. I had a few questions while building, so I posted them to a forum and got answers pretty quick. Forums are great for this kind of thing.
A few suggestions, put the cpu and heatsink on before you put the mobo in the case. If you're using a retail cpu's heatsink, you don't need thermal paste, it has a thermal pad on the heatsink. Also put the ram in, and the back panel I/O shield before you put the mobo in. The front panel connectors are easier to connect out of the case if the front panel wires are long enough to let you do it outside. Put your video card in. Connect the 24pin atx connector after the mobo is secured to the case. Connect the 4 pin mobo power connector. Connect power cables to your devices(hd, cd, floppy, etc). Connect data cables(cd floppy hd). Connect case fans to mobo or psu, whichever kind you have. Then check that everything is connected. Keep the case open when you first power up to be sure all the fans are working(cpu, gpu, psu, etc).
Don't add your extra pci cards (modem, sound, etc) until you have windows loaded. This eliminates them if you would have a problem when you boot up.
Good luck!
Edit: Don't forget that static kills computer parts. Touch a metal part of your case before you touch any component to reduce the risk of shocking it.
And I found another guide that might be helpful.
Guide
I think this guide is really good, lots of pictures.