the motherboard should include all the cables you need to connect the drives, if the hard drives are SATA then you might need to get some sata cables though they may also be packaged with the mobo.
ring the supplier and ask if the cables are provided, it will give you a chance to test the service phone setup. something that seems to let down a lot of online suppliers. as you are looking at spending around £700+ then they should fall over themselves to help you.
regarding the selection, im not sure about the memory, i seem to recall 533mhz memory being for Pentium systems but i could be wrong. check out the FSB of the proc, i think it will be 400mhz. as such you would need pc3200 memory. anyone corrects me on that i would accept it as im not sure.
if the S300 is for sata2 hard drives, please check if the mobo supports dual sata (or sata2)
good luck with your new build.