Everything fits one way. Remember that! It's easier than you think. Open the manual that came with your motherboard. It has diagrams of how everything connects. See this big connector? It connects power to the circuit board. It has 24 pins (older ones have 20 pins). Even though this image shows a purple connector, the one you have will probably be black and the wires will come out of the bottom. See the big holes? Some of the holes are beveled, some are square. That's so it will fit just one way.

See this 4-pin connector? It also connects power to the circuit board.

There's a few of these white things with the big prongs (male) or holes (female). They're called molex connectors. They supply the power to your IDE connections and a few other whatnots. Maybe your DVD/CD ROM is one of these. They also are used for things like big LED lights and fans.

These are SATA connectors. The big one comes from the power supply unit, and the little one which attaches to the motherboard. You'll use these to connect the power supply unit and the motherboard to your hard disk and your DVD ROM drive (unless you're using IDE connectors, which are becoming less popular.

Fans, fans, fans! Don't forget to connect the fan that cools your processor!  The other fans connect with three pins or with molex connections.

What about all those little wires that connct to the front panel buttons and stuff? They're probably lying on the bottom of your computer case. One of those buttons turns on your computer! Now here's where you really need to look at the diagrams in your manual! I've found the the white wires are usually negative. You'll also have USB wires and some wires for your sound. The wires that attach to the pins that deliver sound to your computer are different from the speaker pins.