The mechanical part of building a PC is pretty simple. Cables today are pretty much keyed so you can't plug things backwards and connectors will only plug into one place. There are some things that are a bit tricky like picking the right memory and matching the motherboard to the processor.
Installing a version of Windows and installing drivers can be tricky. I've run into the occaisonal piece of hardware where getting the drivers installed has been tricky. Most of the time the install works with no problems. XP might be better, but I have not yet installed it on any machine.
Newegg is a good company to do business with. I am willing to take risks when ordering parts and generally go with the dealer on pricewatch that has the best price. Maybe I've been lucky, but the only problem I've ever had is a dealer that sent me a processor with bent pins. He supposedly had a bad reputation on resellerratings.com, but he did replace the processor with no hassles.
Edit: Forgot to mention - bottom line, I agree that if yuo have never done this before, you want someone who has done it at least once to help you.
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