Why have you bought a Pentium 4?, according to the internet these came out between 2000 and 2008 so it is at least 4 years old.
Also note that a CPU has pins underneath that fit in with the slots on the motherboard, and these pin combinations change all the time (more or less pins, different positions etc).
So a Pentium 4 CPU will only fit a motherboard built for a Pentium 4, and it may be hard to buy a new motherboard nowadays that will take a pentium 4 (most new ones wont take a Pentium 4).
Normally you choose the motherboard, CPU and memory as a "set", to make sure they all work together.
I must agree with vivandorron, you sound as though you need a bit more experience before you go out and build a PC.
Why not just buy a pre-built PC like this for £249 and install Windows on it yourself?
http://www.ebuyer.com...-desktop-pc-7873-1067