1. The 9400GT sucks (SERIOUSLY, DO NOT BUY IT), for a gaming machine I would at least get an HD4850 or GTS250, whichever is cheaper (as they perform similarly). Or even wait until the next set of DX11 GPUs in September time, if you play to get Windows 7.
http://www.newegg.com/Product/Product.aspx?Item=N82E16814121253
2. Buy from online, it's cheaper and, honestly, no one ever has problems with Newegg. They have good return/RMA policies and don't rip you off. I'd trust them more than any store.
3. Don't bother with the sound card; motherboard integrated sound is great these days unless you're an audio freak.
4. CPU: For a gaming PC, you buy them from online. I would say get a Phenom II X3 720, seems to be the sweetspot for gaming these days. If you do serious work like audio encoding or rendering then go up to a quad-core like the Phenom II X4 940. In your price range AMD is better value than Intel.
http://www.newegg.com/Product/Product.aspx?Item=N82E16819103649
5. No, motherboard is the LAST step. You choose your CPU and graphics first then get the cheapest board that supports them. All motherboards perform the same these days, you don't need an expensive one. Go Asus or Gigabyte, they're reliable brands. How about an AMD 770V? You'll need to make sure it's Socket AM2+ if you're using DDR2, or Socket AM3 if DDR3 (that's if you have an AMD CPU, which I recommend for your budget).
http://www.newegg.com/Product/Product.aspx?Item=N82E16813128376
6. Power supply to cover that would be between 400-500W.
7. Such a setup will play any game on 1600x1200 or even 1920x1200 resolution on High settings, and Crysis on medium. And it's seriously cheap.
8. For building it, you can take the parts to a specialist PC shop and have them build it for a fee, or ask a friend/relative who can, or do it yourself. There are plenty of tutorials on the internet, put it into Google.
