It's all pretty self-explanatory once you have all the parts with the case sitting in front of you. Heatsink mounting is easy too. The trick is not to overdo it with the thermal paste and allowing enough room to mount the fan (I suggest ball bearing fans instead of sleeves since they last longer and produce more airflow).

I also suggest getting at least an Athlon64 3000+ @ 2.2GHz. You can get one for under $150. The Venice core is a nice build.

I don't know what you're looking for in terms of GPU, but I wouldn't recommend anything less than a Geforce 6800GS (GT preferably). I also would recommend you get a motherboard with PCI-Express since AGP is being phased out.

Most motherboards have ethernet built in, as well as onboard sound.

As of right now AMD machines only support up to DDR400 RAM, and it's the only speed I would recommend. Nothing slower.

$250? I don't think it's possible.