New Build Need help

Hi Guys,
I built my first ever PC and I just can;t get it to work smoothly. I've had blue screen errors, slow performance my internet connction needs to be repaired all the time. And now I can't even reinstall XP because of the Blue screen stop error. I'm not sure if I did something wrong along the way, but I kind of want to start all over but I don't know how! Here is my build:

EVGA 512-P3-N871-AR GeForce 9800 GTX+ 512MB 256-bit GDDR3 PCI Express 2.0 x16 HDCP Ready SLI
Western Digital Caviar Black WD5001AALS 500GB 7200 RPM 32MB Cache SATA 3.0Gb/s 3.5" Hard Drive
G.SKILL HK 4GB (2 x 2GB) 240-Pin DDR2 SDRAM DDR2 800 (PC2 6400)
Intel Core 2 Duo E7400 Wolfdale 2.8GHz 3MB L2 Cache LGA 775 65W Dual-Core Processor
GIGABYTE GA-EP45-UD3P LGA 775 Intel P45 ATX Intel Motherboard
RAIDMAX SMILODON Extreme Black ATX-612WEBP 1.0mm SECC Steel ATX Mid Tower Foldout MB Computer Case With 500W Power Supply

Any ideas would be greatly appreciated.