Building a PC is easy, it's all about following the diagram in the manual and slotting things into place. If you can build lego you can build a PC.
For £500 I have gone for the following setup, I have left out the case so you can shoose your own.
I have gone for a quad core CPU as they are awesome performers, even in games, coupled with a decent but mid priced MSI motherboard with overclocking potential if you fancy a go at that a little later on. This has the very good 965 chipset, there is a newer chipset out but at this moment in time it has not proven it's owrth so I have gone for the safe option on one I know is a good performer.
A very nice WD 320gb hard drive with 16mb cache, 20X DVD burner and an excellent Corsair 550W PSU to keep it all running nice and stable. Oh and I have gone for a very good priced 7900GS for the graphics card as it will play all games at good frames, I think it's pointless gettiing one of the new DX10 cards at this moment in time, wait a few months then upgrade. And at £63 for a card of this quality, you can't really refuse it with a £500 budget.
Oh not to forget the fantastic 2gb of Corsair XMS2 running at 800mhz with nice heat speaders.
Total cost is about £450 (then whatever you pay for a case).
http://www.ebuyer.com/product/131950
http://www.ebuyer.com/product/128047
http://www.ebuyer.com/product/98710
http://www.ebuyer.com/product/124735
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http://www.ebuyer.com/product/133540