Oh man, where to begin. (I'm going to go out on a limb and assume you mean the rifle and not some PC version my non l337 ass hasn't heard of).

First off, it's like Barbie, but for men. There a Crap-ton of parts and accessories. Having some idea of mechanics or putting things together will help, but there are also manuals out there to help with it.

First you need to answer some basic questions:
-What will this AR be used for? Long distance precision shooting, home defense, hunting, or the closest to an M4 clone you can make?
What caliber do you want? The AR family has a lot of options, but the most common types you see parts for now are 5.56NATO (.223 Remington), 7.62NATO (.308), or .300 Blackout. If this is your first I'd recommend going with 5.56 since the ammo is also the cheapest of the three.
How much are you willing to spend
How much does the overall weight matter?
How fast do you want this gun? Typically building is a cheaper option, but means you have to fine tune things and will need to purchase tools you don't normally have, like an AR barrel wrench and gunsmith punch set. Most people who build span it out over a time frame of 4 to 6 months.

My take on building an AR
Go for it. I plan to do it as well, but I already have an AR that I have purchased so I'm not eagerly awaiting the build to be finished. My plan is to take my run of the mill AR and little by little upgrade it to a better AR. By the time I'm done I'll have plenty of components to have a head start on building my own AR.

This plan is a little more in the upfront cost, but you have your rifle right away.

Assuming you still want to go the custom build route right off the start you should begin by looking at Palmetto State Armory and purchasing one of their stripped lower receivers. This receiver is for the 5.56 NATO round, and their customer service is of near legendary status. They'll help with understanding the transfer paperwork and what is required.

There are a lot of sites that will sell you a rifle in various stages of completion as well. If all you want to do is build the lower, you can buy a completed upper and have it shipped to your door with no paper work. But I'm getting into details beyond the basics. Consider the questions above, and go from there.

Congrats on the decision to enter the world of scary black rifles! The armed citizen is the truly free citizen.

Wait you can build guns from the ground up? Like computers?
IE
Butt, trigger, barrel, chamber, grip, and cartridge

Wait you can build guns from the ground up? Like computers?
IE
Butt, trigger, barrel, chamber, grip, and cartridge

  Just get a Colt, the SP6920 is a great rifle that can be found in the 800-900 range.  You can build you own, but it seems like it will cost more if you build your own upper with the tools required for mounting the barrel and checking the chamber.

  With building a rifle you don't seem to save much but you end up with exactly what you want. 

For the lower, check out Magpul's enhanced trigger guards, especially if you are going to do any range time in cold weather where you will be rocking some gloves. The aluminum one is a very nice piece.
http://store.magpul.com/product/MAG015/173

If you are looking for complete uppers, check out LWRC's short stroke gas piston uppers (M6A2 & M6A3). They are not cheap but they make hell of a rifle. Piston systems make a hell of a difference with keeping bolt temps down and reducing fouling.

Anyway you decide to go, make sure you check with both manufacturers for input on the marriage of the upper and lower. They may blow smoke, but it can still help point out potential red flags for the build.

Don’t forget to think ahead to a sling style and your mount options and put your sling adapter on early. As fart as slings, I have tried many types and mount styles but I keep going back to the single mount point tac slings. The Dieter CQD or the Blackhawk Storm Sling are both great options. To go along with this single mount point style, I use a Blackhawk Universal Single Point Sling Adapter. Nothing sticking out to poke you and ensures the rifle lies as flat against your body as possible. Again, this is just my preference, but from a hanging position, to low ready to high ready, I find this sling and mount style the most comfortable, natural feeling, and easiest for transition out of all the slings out there.

so far
http://www.spikestactical.com/new/z/upper-556-16-m4-le-wfde-moe-handguards-fsp-p-659.html
and
http://palmettostatearmory.com/index.php/firearms/receivers/psa-ar15-lower.html
and
http://palmettostatearmory.com/index.php/ar-15-05/lower-parts/build-kits/moe-lower-build-kit.html

for 875 shipped and transfered

On a pink pillow. Nice!