Your PC is put together, and all the parts are working. You will most likely need access BIOS to edit the boot priority or set it up in the first place so your PC boots from the DVD/CD. After you have done that, you will then go by installing your Operating System, just by putting your Vista CD/DVD in and rebooting. It should pilot itself if you did the above step correctly. After 15 minutes or so, and your operating system is configured and installed to your liking. Your motherboard most likely came with a CD that has drivers on it. Install your motherboards drivers (ie: Onboard LAN, Onboard Audio etc etc, that should get you to the internet. Assuming your not using your own ethernet adapter and/or sound card) After my motherboard drivers are installed, usually I get on the net and download the latest Video Card driver from the companys website. After that, it's really up to you on what you want to install program wise. Games, Anti-Virus etc etc.
PS: Everytime your OS or Computer asks you "Do you want to reboot now" always click Yes. If you boot later, and installed something in the process etc. It can corrupt data and files, which can be a big hassle.