I just finished building my first pc yesterday, but have no idea what to do next. Do I go into BIOS and set it up? I first put in my vista dvd, but got a message saying could not find boot cd or something. What should I do now?

Make sure the BIOS is set to boot from the CD/DVD first. Then boot the PC with Vista DVD in the drive. You might see a message like "Press enter too boot from CD/DVD", do so. You should now be installing Vista.

Go into the BIOS and set the first boot device to the DVD drive, and change any settings you need to change. Then save your changes and exit. Put the Vista DVD in and it should bring you to the installation screen follow the instructions and your done. After change the boot order to the HDD first to boot up faster.

Hope this helps.

Edit: Zenthar beat me to it.

Another question, does it matter what screw you use to screw in your motherboard? My case came with all kinds of screws, and didn't tell me which one was for the mobo. There were screws with a round head and some with a flat head. I had no idea what to use and stuck with the round headed ones. Is the type of screws important to avoid damage to the mobo?

Your screw choice won't really matter. What's important is to be sure that you use the brass stand offs that that were included. Any screw that fits in the stand off should be fine.

 
 
I truly hoped you used the standoffs.  If you didnt, remove mobo, install standoffs, reinstall mobo.  If you didnt or dont your going to fry your mobo.

depending on your MB, might be a good idea to update BIOS.  can find out how to do that from manufacturer's website

use it =P

Once you are up and running, install antivirus and firewall software before you go online.

wow, thats just a little paranoid. I get my antivirus on line, and firewall from windows. since I've started that, I virus free. befre that I went years before getting a bug w/o AV software

Unfortunately it isn't THAT paranoid. If I remember correctly, 1-2 years ago, a research was done called "Project Honeypot" (or something like that) to how "unsercure" the internet was. Within 15 minutes from being connected to the internet, the PC was being port-scanned and within the hour the PC was compromised.
 
When my PC used to be connected directly the the internet (no NAT router), I was doing the same thing; I downloaded firewall and antivirus prior to formatting and plugged the network cable back only when the firewall and antivirus were installed. I also did the same thing when I was at my parent's because I didn't trust other PC in the network to be clean .

15 minutes? What did they do during that test - surf pr0n with IE?

No I think it wasn't even "humanly used" by anyone, it just ran a HTTP server and maybe other server apps as well.