Loaded question
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It depends on your aptitude for that kind of stuff. I was intrigued enough to want to figure it out. Some people aren't. Loading windows is not difficult as long as you know how to change the boot sequence to boot from CD rom and not the hard drive. There are plenty of sources online that go thru the steps of building a PC.
Check out a google search on the subject. Many of the guides are free. I think there is a tutorial on Newegg.com and Tigerdirect.com. Cnet.com also has some online videos for installing stuff.
I was very careful about static. I wore an antistatic bracelet and latex gloves when handling the CPU. From what I understand, the oils from your hands can cause alot of damage.
I think most people will tell you to take your time. The tutorials can offer some tricks of the trade that may come in handy. I found using a good quality case, made for a good install. I also went with a retail CPU which came with the heatsink and fan. I didn't want to over do it on my first try. I am much more comfortable roaming around my PC case now.
The funny thing is that when I got this bright idea to build, I didn't even know what a heatsink was, so just start reading.
It wasn't a perfect experience. They never are. My video card burned up. So I got an RMA from the manufacturer for a new one. The new one was DOA, so I am awaiting another one.
What's nice about this forum is you can list the components you are thinking about using and some really bright people (wink wink) offer lots of good advice and suggestions. It's too bad I discovered this after the fact!
Just to let you know...I am older than the average age on this forum and my background is in real estate sales. So I am no einstein. I just like learning and trying new things and I know where the local computer repair shop is (just in case)!