check out this site:
Many people have successfully completed his plans for near little or no money. I know that these machines aren't the super heavy duty cnc machines that would be used to machine an engine block from solid billet, but it would be a good place to start. once you build a simpler small machine you will have a much better understanding of all the parts, pieces and electronics that go into a cnc machine.
my first machine was a "hardware store machine" i used drawer slides, steppers from old dot matrix printers, and a simple stepper drive that i made from a diagram i found on the internet somewhere. It worked, and i learned a lot from that experience. since the first machine i have built several others, retrofit an older manual mill, built a cnc router using industrial ballscrews,drives and motors. in another month i will be retrofitting an older bridgeport boss machine with updated motors, drives and controls.
start small and cheap, learn the basics. my first machine was very useful, i made quite a few wood signs, a few christmas presents and other misc stuff. the other thing to consider is that once you build it, you still need to learn how to use it. creating part files, toolpaths and machine controls.