Welcome to the forums!!! - and no you dont lol but getting a defective PSU that frys your whole system is very rare(as long as you pick a good one of course)
opty 165
7900GT/X1900XT(evga, bfg, xfx/powercolor, saphire)
nforce 4 ultra mobo(asus, dfi, epox)
Western Digital SE16(w.e size you want)
2x1gb pc4000 or higher(corsair, ocz, g. skill, mushkin)
DVD burner(brand doesn't really matter just go cheap+good reviews)
500w+ PSU with tons of amps on the 12v rail(s) (enermax, ocz, fsp, pc&p, antec)
mid-tower case - 120mm fan intake, 120mm fan exhaust side air duct/fan if you can (cooler master, antec, thermaltake, aspire, lan-li, chemning)
full-tower case - same amount of fans and stuff as mid tower, same brands.
floppy if you want(get cheapest one)
winxp pro sp2 for an OS
scythe ninja + 120mm fan(panaflo, delta)
you can OC that thing to hell (in a good way)
since this is a first build i would google things about overclocking (how to overclock, overclocking guide, overclocking safely, overclock ect... get creative)
not sure how much that comes to, when im done with my spanish hw ill check more out and actually link you to parts