First thing, don't get a celeron. I'm not an Intel guy by any stretch of the imagination, but Celeron's suck. Get yourself a new P4 and pocket the five bucks difference in performance. It's worth it, I swear.
I don't know why you need two disc drives, really. I know that some people might like to copy, but if you have a hard drive big enough you can just have them cached to the hard drive in Nero or whatever. I'd say drop that just for price, but it's all preference.
Umm... hard drive. the 8.9ms is the seek time, basically, the quickest it can access data. Smaller is better.
Hard drive will be the only thing you'll have to configure in the BIOS. There'll be a screen to set the boot order, you want to make sure SATA is set at highest (after CD-ROM, of course), but, you should be able to just plug everything in and go.
I'll assume you know how to install Windows properly and I remind you to grab your components' latest drivers from the website and burn to a CD before you get going so that you can install new drivers on a fresh install.
Also, about the
mobo, I think it's a bit on the side of weak. A
mobo with integrated graphics (I'm assuming from the -mx and no vid card listed) won't have as good of performance as a standalone
mobo and vid card. Wait a bit and people'll come and give better answers.
Have fun on your first build and welcome to PimpRig