You can usually buy a complete system cheaper than you can build one these day but if you want to build your own from scratch then it's a great learning experience, but read up all you can before you go out and buy any expensive components. Try this link as a start to understanding what's involved but there are lots of useful sites on the internet.
First of all decide what you want the PC to do (surf the web, email, office applications, home theatre, image processing, video editing, games, etc, etc) then decide on a budget. The more power hungry the applications the more money you will need to spend on the processor and motherboard. Choosing these first will dictate most of the other components in terms of type of memory and whether you need a separate graphics card and the type of case that will take the motherboard and size of the power supply, etc. Hard discs (3.5 inch for a desktop) and optical drives are pretty standard unless you want blu-ray recording but even these the price is beginning to fall.
You need to make sure all the bits are compatible with each other then putting them together will be relatively straightforward if done with care.
The BIOS will be on the motherboard and the first time you boot the computer you boot into the BIOS, usually by hitting the Delete or F8 key on power on. Then you can change any settings that are necessary though most will automatically recognise the system components you have installed and use the right settings.
What you will need is an operating system to install. Ubuntu is free and would allow you to get a system up and running at the lowest cost, then if you prefer you can then install Windows 7 when everything seems to be running fine and you are sure you want to spend c£90 for a copy.