Does it have to be this specific circuit you build or do you just want to build a circuit that will detect the presence of AC mains voltage? You can build this **broken link removed** for a circuit to detect AC mains voltage and it will come with all instructions and compnents necessary for you to have a working circuit when finished however, it is not identical to the schematic you've posted.
You might be able to find someone here who is willing to take the time and write you a several page tutorial on basic electronics and circuit assembly, so if you want you can hold out for that but if you are at the level where you're not sure how to physically connect components by following a schematic, I'd reccomend you try the kit.