Case - holds the computer in a box. typically comes with fans, sometimes lights. the more you pay, the prettier and bigger it can be.
Power supply - takes power from outlet and distributes it across your system. be cautious not to forget this up.
Motherboard - Think of this as the nerves of the computer. connects everything together and sends data all across to each other.
CPU - Think of this as the brain. Basically does a lot. Calculate physics, video encoding/converting, etc. lots of stuff.
RAM - Sort of the muscles of this system. The more muscles, the easier it is to lift things. Likewise, more RAM means faster access and enough RAM for your programs which ensures your system will flow smoothly.
GPU - Makes pretty pictures. The more expensive, the better. The better, the bigger; the bigger, the more power consuming. Make sure you have a very good power supply for a high-end GPU.
Hard Drive - Stores everything. Self explanatory.
DVD drive - self explanatory again.
Operating System - The interface through which your computer will live and be used in. Generally, Windows 7.