Well, I think you can't build a computer as and when you get the parts, as the computer needs basically the whole setup before it can be useable. Yeah, you can power it on with just PSU, mobo, cpu, ram and graphics, but thats just about all it can do. You'd need a HDD to run windows, assuming it was preinstalled. You'd need a CD-rom to install windows if its not preinstalled. And if you got all that, you basically got your computer
I think you can build a computer without having the case, I've seen an open computer before, with parts all over the table. Might not be the best way to deal with heat, but it boots, it runs, and its stable. But highly not recommended (spilling Coke on most parts cause parts to rebel).
And I do agree with what Phantasm66 said. Take your time, don't force things in. Especially the CPU, those require the least amount of force (it shuold go right in) and most amount of care (those pins aren't strong). Bent a pin before, but managed to unbend it to work, but highly not recommended. Others, especially those which fit into slots (graphics, RAM) might require more force, but if you're reaching a mallet, you've probably put more than the required amount of force on it already.
Read the manuals. They're a good way to pass time. They're interesting, and full of pictures. If you're lucky, you might get some colourfull ones too!
j/k, but yeah, they help when things aren't working. They might even contain usefull tips on how to connect that item properly.
Thats about it I can say.