Take your time - don't rush things. If you have any doubts in your mind whatsoever, consult the manual. Follow some semblance of ESD procedures (not building the thing on a carpeted floor), and be sure to ground yourself out before you handle any components. Don't force anything either - PC components are generally rather delicate, and should not require much force. Do things in an order that makes sense too - don't try to install your processor after you've screwed in your motherboard, for example. Last but not least, make sure your BIOS settings are good before jumping right into OS installation, and make sure you install and update all your drivers before validating your copy of Windows.
Should cover most things.
Edit: If you want to set up a partition, pre-OS installation would be the time. 30GB is generally good for an OS/Game/Program partition, with the rest of the space being dedicated to music files, etc. Go with whatever partition sizes fit your needs, but I'd advise you keep your OS partition at least 25GB, regardless of the size of your hard drive.
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