I've used pcpartpicker to build my newest desktop computer and it worked great to make sure that every part I picked out for my computer build was compatible and what I wanted and needed to built the perfect computer.
You use the website to pick out the parts and then purchase the parts through other online retailers such as Amazon, Newegg or any other online retailer that has the parts or part for sale.
If you know what parts are compatible with each other then you don't really need to use pcpartpicker but it does help.