Your Dell link doesn't show anything. You'll need to just list the main components... RAM, HDD, CD drives, CPU, monitor.
The Pentium D is not doing better than the Athlon 64 X2 in multitasking. It is doing better than single-core Athlon 64s, but dual-core Athlon 64s are much better for their price. Given the few applications you mentioned, the Athlon 64 would certainly be a better choice. The only applications where Pentium Ds even remain competetive are video encoding and a couple office-type applications, and even there they only tie or just barely fall behind. Even the links your provided showed the X2s winning in almost all of the non-synthetic benchmarks and semi-synthetic benchmarks.
Your budget is pretty high, so I'd say get something around an Athlon 64 X2 4400. That'll overclock nicely down the road and perform pretty well now. Granted, with your budget you could probably get the 4800, but I'd say save your money and get something with more bang for buck. That said, the 4800 may be necessary to be comparable to whatever system you tried to link to.
There are a lot of good motherboards you can get. The best overclocker would be a DFI nForce 4 Ultra motherboard, but there are cheaper options that will still overclock well, if you want to save the money.
With that budget, I'd say go with dual 1GB sticks of RAM. Hell, it wouldn't be bad to go with RAM that has a CAS latency of 2, even though that makes a considerable difference with 1GB modules.
With a budget like that, you should be able to go a little overboard on the magnetic media. Get either big hard drives, fast hard drives (WD Raptor 10000 RPM), or both. Consider using RAID 0 or 01. The increased speed from all this can help a lot in multitasking scenarios.
Get whatever case you like (on eof the advantages of building your own), but don't go for one just because it has a PSU built in. You'll probably need something at least 480W, but over 500W is even better. There are lots of good companies to stick with, such as Fortron or Antec.
Go with a retail processor and retail cooling if you want to save money. If and when you do overclock, you can worry aobut cooling then. If you want to prepare ahead of time, though, go with a Thermalright XP 90 and a 92mm Panasonic Panaflo. You'll have to make sure the XP 90 fits whatever motherboard you get. That particular combination provides great cooling with next to no noise.
When choosing your monitor, I'd suggest you look through
Anandtech's reviews. They go extremely in-depth and will allow you to find the monitor best for you.