I'm...not really sure if you're for real, here, DarkRiolu264. Making a small PC is a lot harder than a large one. And as someone who just installed extra RAM and a video card into a small PC case, I can say that difference isn't trivial. In fact, I couldn't even install a second hard drive anywhere (which was sort of okay since there was no room for it on the motherboard to begin with, but still...not cool).
But what the hey...to build a PC, you'll need the following:
-case. the outside of the computer. If you've never done this, get either a large one or one that is lying around somewhere.
-motherboard: this one is the most important to study, as it has to be compatible AND sizeable for all your other stuff. Everything connects here, so if you're not 100% sure a part will fit or connect to this, you should be doing further research
-power: these are fairly standard nowadays. Only really important if you're going to overcloak (which I suggest you do NOT do on your first rig)
-memory: argueably the easiest to install: small thingumies that you plug onto the motherboard. Just make sure you've got enough
-CPU: main calculation part of your PC. Despite it being multiple core, it's still a single package you click on your motherboard. It's both the easiest and the hardest part of the installation, because of the following...
-the cooler. CPU's run fucking hot FAST, so they'll need proper cooling (another reason large PC's are better). The standard fans will work, but you can get pretty decent ones for a good price if sound is an issue. And while there's some progress on this front, the fan of my old PC was a fucking NIGHTMARE to connect properly (I had to rescrew it every other year. Now, it just won't stay covered on the CPU anymore). Getting this done right requires surgical precision even on large PC's. You be warned...
-video card: partially optional now that motherboards come with their own video card. For gaming, it's nonetheless an important one. Since your goal is to connect it to the TV, get one with HDMI.
-hard drive: kind of obvious, and since SATA pretty convenient as well. Since prices per gigabyte have dropped quite well, you can start considering just getting an SSD.
-(optional) disc drive reader. DVD or blueray. Most cases still provide for these, though especially on small PC's, you should think about skipping it. Of course you'll need a way to boot/install an OS from USB if you decide to skip.
-peripherals. keyboard, mouse, power adapter, TV/monitor. And probably a wifi dongle or something, though configuring your gamepad is something for after the initial setup.
All of these cost money (if you don't already have it) and time to get to know it. You'll need screwdrivers, patience and preferably some backup PC to look up stuff. I found logicalincrements.com a pretty decent source, along with a yearly overview on tweakers.nl (Dutch) (in fact, they just
released their annual list). Still...when going for a SMALL pc, it may require extra research.
Personally, I would consider other meanings. A shield tablet, for instance, is small and can stream directly from your gaming PC to your television. Assuming you already have a decent PC, you won't be able to beat it in the price category.