One reason I don't recommend that inexperienced folk build their own without someone present the first time to help out. Things like setting up the BIOS in particular can get hairy for newbies. Your problems are pretty vague and could be a number of things, incredibly tough to troubleshoot over a message board, imo.
You shouldn't have to ignore the SP2 update, eventually, you will need it, when MS decides to cut off support for nonSP2 clients, as they are doing currently with nonSP1 clients. So rather than ignore that, you need to solve the problem.
On the HL2 problem: are you able to run other 3d games? When does it error out, on loading screens or when the 3d menu comes up, or when the game launches, etc? Way to vague to give anything like advice. I'm not sure how much we can help, but we will need more info to try.
Sorry I came in late, haven't been reading the board in a couple months. Looking over that parts list, it says you already have SP2. I also wish I could have guided you away from a few 'budget' items (never cut corners on your pc, wait until you can afford it: my philosophy). Budget RAM, a subpar hard drive, and a power supply made by a case company...I would have bitched about those choices at least.
Anyway, no use going on about it now, let us have some more details about your problems and let's see if we can get you up and running with some A+ gaming.