I think there are enough build threads these days not to warrant a guide to modding thread... R33s are probably the simplest car to mod, all you need is to buy a fairly unmolested example and the outcome is anyones game.
OP just try and keep your car as simple as possible. Power mods to a STOCK car as follows:
JJR bellmouth dump, 3" cat, 3" catback (feel free to go bigger)
JJR cross flow intercooler (feel free to get a better quality item)
Turbotech boost tap (feel free to use an EBC)
Walbro or Bosch fuel pump
Get it on a dyno and turn the boost up till just before you hit cut, should do 180rwkw on 9 or 10 psi.
Add turbo of choice (from highflow to GT30 style item or high mount and external gate, do the reading and pick your poison)
Add injectors/Z32 afm/ECU and tune to suit the turbo change
The described above could easily get you up to 350rwkw on pump fuel with the right turbo choice. If something fails, you tackle it individually to the above, like coilpacks. They are not NEEDED unless your stock ones fail, and then new stock items are usually best again.
Thats all you need to know, now you have to do lots of reading.
Goodluck,