Next you will want to look at A/V receivers and speakers. Some of these systems come bundled, some do not. Just make sure you pick one that had HDMI support. This will allow you to connect all your devices to the A/V receiver, and then only run one cable to the projector.
While you're looking for an A/V receiver it will also be a good time to think about where you will be location the receiver, cable box, blu-ray player, and any other inputs you will be using. You will then need to try to measure the distance through the walls to get an idea of the length of cable you will need. If this distance is more than 25 feet, you will want to look at a device called a "HDMI over Cat5 extender". These are easily found on line, and vary in quality and the distance they can extend. Virtually any will work fine for a home theater installation.
During this time you will also want to go ahead and purchase your projector and screen. It will be important to make sure that the screen is the same aspect ratio as the projector. For 99% of home theater applications, this will be 16:9, the same as your standard HD TV.
Next you will want to look at speakers. A big factor in this will be what the area around the screen looks like. If there are bookcases, you will want to use bookshelf speakers. If there is nothing, aim for floorstanding speakers. These will give you the best sound quality across the full spectrum. A powered sub wolfer, center channel speaker, and surround speakers will be wanted as well. Some people install the rear surround speakers in the roof, while others mount them on the wall or put them on stands or even tables. Look at your environment, consider how you want it to look, and make a decision about which direction to go from there.
After you have all this, you will want to start running wires through walls. This can be tricky, and may be the point where you want to hire a professional. If not, you will need to run cables from where you are locating your sources, to a point in the ceiling where you will be mounting your projector. After this is done, it gets much easier. Fix some wall plates around the points where the cables run in to the wall and out by the projector, mount the projector to a cross member, and connect and align your system. From there it is a matter of tinkering with what settings you like best, and setting up your sound system!