When I built my PC in September I almost exclusively used the Linus Tech Tips building guide video. It's pretty general and doesn't cover everything (since every PC is different), but it was more than enough to get me going and helping me troubleshoot if I was stuck/nervous about something. I highly HIGHLY recommend it.
In terms of cooling the CPU, it's just dependent on the cooler you buy (air cooler vs AIO liquid). I use an air cooler and it's dirt easy to install assuming you use the right amount of paste (the LTT guide will lyk how much). AIO I'm not experienced with but I heard it's a little more complicated, but a guide/review of that cooler will get you to the right spot anyway.
The most important thing is that you do your research so that you get parts that work well together (the last thing you want is to realize that a part you bought isn't compatible with the mobo or psu you got) and to make sure you have a clean environment to build (no dirt/dust/grime and a way to get rid of static electricity so you don't cook something by touching it on accident). Otherwise, it's really not that hard, and if you just take your time it's very hard to get something wrong IMO.
Best of luck!
Discord