Once you've built the PC, stick the windows CD in the drive and boot from it, install windows and setup a user account. That's it.
Lol yes indeed, motherboard chipset drivers and graphics drivers are on a CD, they're all you need for what's inside the PC, then set about installing the drivers for whatever peripherals you have that need them as required. It's often advisable to download the latest graphics drivers off the internet rather than use the CD if you play games. If you don't though, the CD version will be fine, and probably better.