Website:
http://www.newegg.com for buying the stuff. They're amazing for buying shit for your computer. It also has reviews by users, so you can tell whether or not you'd be making a good purchase. Just read the reviews.
As for what you need to buy to build a computer, you need
-A case
-A power supply (has to have the same form factor as the case- also make sure that you don't buy a power supply that isn't powerful enough to support your hardware, check with someone to make sure it is if you're unsure)
-A motherboard compatible with the power supply (number of pins) and the case (form factor)
-A processor compatible with the motherboard (socket type, company)
-A graphics card (your motherboard needs the appropriate type of slot but you probably won't need to worry about it. If you're not sure just check with someone)
-Sound card if the motherboard doesn't have an intergrated one/you strive for quality.
-Any type of network cards you might need (I assume wireless or ethernet)
-RAM (there are different types of RAM, so make sure to check with someone before buying your RAM. You might accidentally buy some really ass-slow RAM)
-Hard drive(s) (again, there are different types. Like MrSan said, try and get a SATA hard drive)
-CD/DVD-ROM or RW drives
-Any additional cooling that you want, fans, heatsinks etc. If you're going to try and overclock, you'll definitely need this.
For OS: Keep XP Pro. Windows Media Center does nothing for gaming. Actually, if you wait a little longer you could get Vista and a DirectX 10 card and be on the forefront of gaming.
A BIOS is the motherboard's firmware- the BIOS is accessed during the bootup of a computer. The BIOS' primary function is to make sure all the hardware is functioning before the computer actually loads the OS. For most BIOSes, you press f12 before the OS boots to get to the BIOS interface. In the BIOS, you can increase the clock speed of your processor and some other hardware but DON'T DO IT UNLESS YOU KNOW WHAT YOU ARE DOING. You can cause serious damage to your hardware by just going into the BIOS and jacking up the clock speed on your processor. You need to have adequate cooling (water cooling works well these days, but you could also use a better heatsink), and you need to know how much you can feasibly overclock your processor. If you happen to be an idiot and do overclock without knowing what was going on, you should get back into the BIOS as fast as you can and revert to the original clock rate.