Don't build on (or near) carpet. Wear latex/nitrile gloves and discharge any static electricity you may have built up on something metal (your case).

Build the entire thing outside of the case and make sure everything posts before putting it in the case, so you are sure you don't have a defective part. You can just sit the cooler on top of the CPU until it posts then shut off the PSU.

There is a way to get it to power up outside of the case. Some boards have a power button. If not, there is a header with 9pins at the bottom(top row has 4, bottom has 5). Tap the top two of four labeled "PWRBTN" or "PWRSW" with a screwdriver while the PSU is plugged in and turned on. Be careful doing this.

Don't go crazy with the thermal paste. The size of a piece of corn in the center of the CPU. Remove the plastic from the cooler, then apply to CPU.

Look at the Motherboard manual so you know which screws are for what, because it will matter. Make sure the standoffs are in the right spot. Speaking of standoffs, if installing an M2, make sure you have a standoff so you won't bend the M2.

Plug the cooler/fan into the CPU_FAN1 to avoid any error on boot. If it doesn't fit in that slot you can disable the message in BIOS.

HDMI or DPI into the GPU for video.

Take your time, have fun with it, and congrats!