Some computer stores usually offers a catalog which would help you making your custom computer. It's the best way to do it, cause you can see the parts which will match and the ones which will not. I've built my computer myself and here is how I did it.
1 - Mother board: If you want to change yours, look for a good one which supports good RAM quantity. Remember that Intel Processors wont fit in a AMD mother board and vice-versa. They also use diferent types of Fans/Coolers. If you decide to keep your mother board, ask in the stores, they will know which processor you can put into yours.
This is the most important stage of building a computer. Memories, processor and RAM which fits into yout mother board are also choosen here, so believe me, it won't be cheap...
2 - Chassi and components(CD/CDrw/DVD/DVDr/Disket station). This is also important, cuz I believe you will install your OS from the CD drive wont you?. You could keep yours. It's also how your computer will look like. I'm used to buy big chassis, so I have more space to work inside when I've to add/remove hardware. It's also here that you choose a disket station if you need one...
4 - Hard Drive: their prices fall all the time. Try to buy by price ratter then famous trademarks. Seagate usually offers nice price and speed.
5 - Grafics Card : This is an expensive part if you go for a Gf4 Ti... It depends what you do with you computer. If you use for games and also need to play the latest games in the market, you will need at least a Gf4 ti 128 VRam... otherwise, a Geforce 4 MX 440 would do the job, it's quite cheap and comes with TV-Out. Also, choose Nvidia, they give better support for Linux.
6 - Netcard or Modem: Usually Linux detects fine all network cards, but not all modems... choose carefully.
7 - Sound Cart: This is to choose as you've choosen the graphic card. You can either got up to a Sound Blaster Audigy or you could buy a cheap one, yet good and Linux supported. Search for Zoltrix. It cost less then 14 bucks and it's Linux friendly, 4 speakers channel and joysupport.
To finish everything: Internal cables, keyboard, mouse and speakers
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About the water cooling, it's just great. I wish I could afford for it. Instead, I use two coolers into my chassi, one over the processor and another one over the hard drive. It helps...
Hope I've remembered everything... but I believe more peoples will help you out here.
Good luck and Happy Birthday