Welcome to the world of flyfishing. Be careful you could easily become obsessed like many on this board.
Before I answer your question you should know that you will get answers quicker and more reliably if you post on the appropriate message board. For example your question would be excellent for the "Lines, Loops, and Leaders" board or the "Gear Talk" board.
Your backing goes on first with a slip knot and a couple of overhand knots on the tag end to prevent slipping. The fly line comes next and is attached with a nail knot (I use nailless nail knots and they have served me well for years) or I think most people use an albright knot. The leader comes next and is attached using a nail knot (again nailless for me). And finally the tippet - I usually tie a loop in the end of the leader and tie the tippet on with a clinch knot and tie the fly on with a clinch as well.
All these knots should be diagramed in the packaging for your kit.
Good luck, and I look forward to your first report!