Hi Marco, lots of things here, let me try to get them answered for you.
Speakers
My suggestion is you buy them if you are not familiar with speaker design, its more complicated that buying a few components and building a box.
Building your own speakers. Very doable but it does require some know-how. The cabinet portion is simple enough, most people use MDF with veneer or plywood, then its braced and filled with acoustic foam. The cabinet needs to be built based on the speaker selection and design. This depends on a few factors such as; you want to go ported vs sealed, do you want full range speakers, towers or bookshelves, stereo listening or home theater 5.1/7.1/etc. Once you figure those out, then you can start looking to buy all the components. You will need tweeters, mid-range, woofers (depending on design), crossovers, etc. All these components will need to be matched to get the best performance out of your components.
If you are not familiar with these, buy a kit, check out
http://www.parts-express.com. There are a bunch of places out there that sell kits.
If you want to buy, there are a ton of internet direct companies out there that make great stuff at very reasonable prices with great return programs.
Some suggestions:
http://fluance.com/about.eng.html
http://www.aperionaudio.com/
https://www.svsound.com/ (mostly known for subs)
Components
Preamp/Processor
If all you have is an amp then my suggestion it to pick up a preamp/processor. Without that you will not be able to decode most high fidelity audio formats like DTS or TrueHD. Most preamp/processor will come with ota tuners I would suggest checking out
http://www.emotiva.com/. The XSP-1 is well regarded for its features at that price point. These can cost you as low as $100 all the way to 100k. Depending on your budget there are a lot of options.
Sources
These will be your bluray/dvd player, cd player, video game console, cable box/dvr, etc. The more sources you have the more inputs you will need on your preamp/processor. Lots of brands out there, I can offer you suggestions based on budget/needs.
Since your amp only has 4 outputs, my suggestion is you do a bi-amp design, i.e. you use 2 amp outputs to power one speaker and stick with stereo listening. With a good preamp/processor you can grow your system and add sources as you need.