Don't get a PhysX card, it's a waste of money.
As for the rest of your questions . . .
What do I need to build my own (super) computer.
A case, a motherboard, a CPU, RAM, a video card (unless you stick with integrated graphics), a sound card (unless you stick with integrated sound), a hard drive, a power supply, and any peripherals you may want such as a display, mouse, keyboard, microphone, expansion cards, and so on.
What case would I need.
One that your motherboard fits in. ATX is the most common.
Where can I find out these questions.
Here. Or howstuffworks.com.
How do you build a computer?
Simple answer - stick all the parts together.
Better answer - howstuffworks.com.
Edit: beanhead, not sure if it wolud be cheaper to buy a prebuilt PC.
it's usually the other way around.