How to build a wheel
The best suggestion I can make is to read "The Art of Wheelbuilding, by Gerd Schraner".

As for materials:

Use aluminum, double walled rims. They are stronger, lighter, and believe it or not easier for a new wheel builder to get true and round than steel rims will be.
In addition, steel rims for a road bike will be difficult to come by in new condition.

Spokes:

There are major differences in the strength and pliability in steel spokes. Even if you ignore spokes from other materials, which you should, look at double butted (usually 2/1.8/2mm) steel spokes from DT Swiss, or if you want really high quality, use the ones from Sapim. Read the Art of Wheelbuilding for more detail on why.

Use a high quality hub, something with a forged hub shell, and good quality bearings. Shimano Ultegra or Dura Ace, if you want good, loose ball bearings. Hope, Phil Wood, or any number of others for good quality sealed bearings.

Use brass spokes nipples.

You will need the following tools:


A good quality truing stand 
A set of good spoke wrenches
A nipple driver (broken link, see Park nipple driver instead)
A quality tensiometer 
Spoke Freeze or similar (broken link, see Pro line Accessories or at wheelbuilder.com).
Method of determining spoke length
The components listed above 
Time and practice.


I hope that helps.