If it is your first time building a computer and your not quite sure of yourself it would be wise to buy the parts (or most of the parts) from a local computer store (small builder, not Best Buy etc). Most places will be willing to help if you hit a road block, such as an OS quirk or hardware conflict (which happens a lot with cheaper hardware).
From the tone of the tutorial it sounds like this was geared towards a novice, so it may help to have experienced people that are willing to help. Just my 2 cents.

Oh yeah, Intel doesn't "lock" their chips, you can over clock them. But, AFAIK you cannot use INTEL boards to overclock their chips. That is, if you want to overclock a P4 (or P3, P2, etc) don't buy an Intel motherboard.