I get most of my components from:
http://www.mudhole.com/
http://www.jannsnetcraft.com/rod-building/
http://www.barlowstackle.com/Rod-Building-Supplies-C27.aspx
But there are many more out there that I occasionally order from for specialty stuff. Places like Shoff Tackle, Merrick Tackle, and even Cabelas from time to time.
Rod building can be an addictive hobby that can end up costing you more than you initially wanted to spend. I have never met anyone that got into rod building to save money. That just doesn't happen.
Start easy. Janns has a good introductory chart to go by when picking components. It's only a baseline, and I'm sure you will venture out on your own after the first couple, but this is a good chart:
http://www.jannsnetcraft.com/Content/RodBuildingTips.htm
You can buy a cheap rod jig, like the hand wrapping jigs from Barlows, Janns and Mudhole, or you can build one from wood in about a half hour. If you can cut a plank into three pieces, use one for the bottom, and two on each end as "uprights", with a V shaped cut into the top of each of the uprights, you have a rod wrapping jig. You can use a spring loaded thread tensioner (very inexpensive part), or you can just use a book. (I'll explain in a minute).
My very first rod wrapping jig was a cardboard box. It was about two feet long and a foot wide. I cut two v shaped notches in the ends and put the rod on it. I took a book and put my thread through it, and ran it up to the rod blank, leaving the thread spool loose in a bowl beside the book. To adjust the thread tension, put the thread lower into the book - top pages for light tension, bottom pages for heavy tension. Total cost - nothing. I had the box, book and bowl laying around. Cheap jig. I can make another one in a few seconds and mail you a picture if you need me to.
I recommend using Gudebrod NCP thread, as it doesn't need color preserver. Saves a step. Not needed, but highly recommended. It's all I've used for years. Size A is thinner, and gives a smooth finish, but it is much harder to work with. Size C is thicker and easier to work with, giving a fairly smooth finish and more strength. Size D is even thicker. My preference is C and I use A to do "finish wraps" like the metallic gold or silver at the end of another color.
Plenty of videos online to show you how to do the wraps, etc... I planned to do a full write up on how to build a rod, but I simply don't have time right now. Maybe during Christmas break - with plenty of pictures.
All the best,
Glenn