I don't know enough to give you a reliable answer. Can think of a few things to bear in mind, and bump you up the list for others to see.
The MSI cubes you have in mind are decent products. But as with all these cubes, there are limited expansion slots and connections. Make sure there are enough connections for what you need to achieve (usually 1 AGP slot and 1 PCI slot).
Wireless keyboard and mouse (using RF) are common. Connection is either PS/2 or USB. Can be used in another room but the wall will affect the strength of signal, but possible.
For the printer to be used in another room, you'll need a bluetooth-supported model. If computer doesn't come with bluetooth, you'll need either a PCI card or a USB bluetooth dongle to wirelessly connect the printer.
Make sure the other room is within the working distance of the wireless devices.
The monitor is going to be a bit of a problem. There are wireless monitors, but they are not mainstream products. You won't have much choice, and even if you can get hold of a supplier, I suspect it will be quite expensive. A quick search reveals a ViewSonic and a Philips. Both use wifi. I don't know how well they work and how reliable they are. Computer must use XP. A lot of these cubes have inbuilt wifi support. Check they use the same standard as the monitor. If different, you'll need to buy a PCI or USB wifi access point.
A cheaper alternative to the wireless monitor may be, if you aleady have another computer in the other room, to set up a wifi network between the 2 computers and use the other computer to operate the cube from the other room.
If the cube comes with integrated graphics, make sure it supports dual monitor display. If not, you'll need to get a display card which does that, and make sure the display card (some take more space than others) fits into the AGP slot
The other thing is sound. I don't know how one can have the computer connected to speakers both in the living room and the other room. No idea.
Quite a few people on this forum have used these cubes, and maybe they have tried already. I'd be interested to learn what they do.