How to start a bicycle step by step?

Hello there, I'm curious about how one might embark on the journey of starting their own bicycle from scratch. Could you please elaborate on the various steps that one needs to take, in a methodical and comprehensive manner? From selecting the right components to assembling them together, I'm eager to learn the ins and outs of this intriguing process. Additionally, are there any common pitfalls or challenges that one should be aware of? Your insights would be greatly appreciated.