The most important thing in the whole set up is the head unit. Purchase the head unit of highest quality, it is the starting point of the sound system, takes input from the source and transfers it to the amplifier after processing it.
Some head units have the cross over inside them, while for others you will have to buy a separate cross over unit for system. Cross over unit is responsible for separating different sound types and sending them to the respective speakers. Notes in the music have different frequencies, and they should be played by the specific speakers or it will ruin the balance of sound played.
Research on the head unit and cross over unit, and buy a decent 5.1 surround system. Remember to buy high quality sound cables as they are equally important. Decide whether you want to make a hi-fi sound system or just an ordinary sound system to watch movies with your television set.
In either case, the number of components will be same, the only difference will be the quality of the instruments, and off course the budget. Connect the head unit to the source of the sound such as a computer system or a TV audio output.
Connect head unit to the cross over and then to the amplifier and all speakers. Use a power plug for the sound system as 5.1 drains quite amount of power, depending on the size of the amplifier.
Purchase the sub-woofer to improve the quality of the sound, as it plays lower frequency sounds that other speakers cannot play. Connect the speakers with the cross over unit and spread them around the room as mentioned in the sound system guide.