Will this gaming setup work?

NO it will NOT WORK. You have chosen a socket 775 motherboard for a socket 1156 processor. I would go to newegg and choose a different SOCKET 1156 Motherboard. As for the Memory, most likely it is compatable with the 1156 socket motherboard. The video card will fit. It is a PCI Express X16. Youre going to need a power supply, probably 550-700 watts. Get a SATA hard drive. Just read up on how to build a computer or go to a local computer store to help build it. And yes, a GTX260 can run basicially any game. I have a 8800GTS and it can play any game on med-high levels.