Your motherboard and processor must be matched (look for 'Processor Interface' - e.g. Socket AM3 or LGA 1155). You also need to choose RAM based on your motherboard. In terms of graphics card, you need to make sure that you have a free slot on your motherboard that matches the interface type on your graphics card (PCI, PCIe, etc). Make sure your motherboard will fit in the case you buy and be sure your power supply is sufficient.
There's also a 'Computer Build Help' forum on here with a ton of good information. I can't post links yet or I would.
Also once you have read over the guide make a post in the Computer Build Help Forum with the parts you have found in your budget and any questions you may still have. The members that regular there will surely give you the advice you may need.