It depends upon what you want it to do. If you want it to be highly
available like a web host, you definitely don't build it, you buy it. The
main reason is, most components you see on the market today are designed for
home use. That means they are designed to be used part of the day, then
turned off. They aren't exactly meant to be left on for months if not years
at a time. You'll need differently families of processors also. Instead of
the Intel Core, Core 2, or Pentium, you would be looking at the Intel Xeon
family sa that's there server processor. For AMD instead of Athlons you'd be
looking at Opteron's.
Hard drives get real expensive. SATA and SATA II are nice and fast, and IDE
is an old stand-by, but speed is not what counts solely in a server, it's
speed plus reliability. The hard-drives you see in the stores just don't
have the level of reliability of SCSI and Fibre Channel drives that are
geared towards that market. SATA drives are getting better, but they just
don't have the long-term resliency yet that the Enterprise class drives do.
Basically, you're better of buying a base server and adding the appropriate
components if you need them.
If you just want to build a home server you could do this with an existing
computer (providing that the hardware meets the server OS's minimum
requirements) and then install a Server OS such as Windows 2003.
Basically though, there's no way anyone here can give you the instructions
on how to do it as it's not a simply question. Too many issues and too many
options based on purpose to dole out in one post. Not to mention if you see
how many books there are for building desktop computers but note how few
there are for building servers. There's a reason for that since the
complexity goes up a few notches and makes it harder to bring all the issues
into a book. Most people who do build servers are already professionals
working with them so they have a good idea of what is required already.