That's actually a pretty good kit for the price, includes all the "components" you need to build a basic robot. What's missing is some of the "glue" components, namely the wires to connect things together (see below). All the pieces are [u]common, standard[/u] items, so you can easily find software and libraries for everything. It's very typical with CN companies that they will sell you things very cheaply, but provide little or no support whatsoever beyond that.
Like Drew said, you do one thing at a time, get it working in isolation from everything else, and then gradually bring the different pieces together. After a couple of iterations on this, you'll have learned a lot.
- first, learn how to program the UNO, if you don't already know how.
- pick one of the subsystems, and learn to program that.
- go on to the next subsystem, etc.
If you do a google search on "arduino" and the part, you'll find links to follow up, eg the library for the HC-SR04, https://www.google.com/webhp?source=search_app#psj=1&q=arduino+HC-SR04 http://forum.arduino.cc/index.php/topic,37712.0.html
Also, to connect things to the Arduino board is a bigger problem than the software. You can get jumpers like this, with male on one end and female on the other, to stick into the Arduino female headers, but the little round pins are really crappy and marginally reliable, http://www.adafruit.com/products/826
What I would do instead is insert male headers into the Arduino female headers, and use the following type of female-female jumper. MUCH more reliable, and won't fall out as easily. http://www.adafruit.com/products/400 http://www.adafruit.com/products/266
Good luck, :-).