There are a few different ways to build a bike, some more in-depth than others. The most basic way to build a bike is to buy a custom bicycle from a manufacturer. Another way is to accumulate all the necessary components and assemble the bicycle with your customizations. The third way is the most traditional and in-depth way: you must build the frame from scratch, build the wheels, and assemble the bike. Very few people choose this method to build a bike because it requires an immense amount of skill and knowledge.
If you choose to assemble all the components and build a bike from there, be sure to start with the frame. Purchase the frame first because all other components must work in conjunction with the frame. For example, the wheels must be the correct size for the frame, as should be the seat post, bottom bracket, and headset. You will need to figure out what size frame you need first, so it may be a wise decision to visit your local bike shop to be properly fitted. If you have limited knowledge of components, ask the local bike shop staff what components will be compatible with the bike you are building.
You may choose from two options for installing wheels when you build a bike: you can either build them from scratch, or you can purchase them pre-built and simply install them. Building wheels is a difficult process that takes a significant amount of practice. The lacing of spokes can be confusing, and properly tensioning the wheel takes skill and practice. If you have never built wheels before, either build them with someone who is experienced in the process, or buy your wheels pre-built.
Once you have assembled all the major components, you will need to invest in the proper tools to build a bike. Some tools are bike-specific and cannot be substituted with any other tools. Be sure you have the correct tools before you begin and make a point to learn how to use them properly. Your local bike shop will very often walk you through a bike assembly, so if you are inexperienced, consider consulting with an experienced mechanic at the shop.
It is also a good idea to invest in a bike stand. This stand will hold the bike off the ground during the assembly phase, and it will make the process much easier. Some steps of the process will require that the bike be steadied and off the ground, so a bike stand is an indispensable tool for anyone building a bike.