1. Custom build normally refers to actually having a frame built to fit you.
2. Build means buying a frame separate from the components, and putting them on the bike.
Most people that do this, do it because of several reasons.
1. Buy a less expensive Chinese (open mold) CF frame. Not a counterfeit, but one of the major Chinese brands that is reputable.
2. Find a good used frame at bargain prices. And then add components.
3. Like Campy (or SRAM) components, but only find the frame that they like with Shimano.
4. Actually have a custom built frame, and then add components to it.
5. Are good at scrounging around the internet for inexpensive parts, so they actually can build the bike for less than they could buy it with similar parts. But this takes lots of patience and time.
If you want to build a bike yourself, you should have a good reason to do it, other than you just want to do it. As others have said, it will probably be more expensive than just buying a bike with the level of components that you want.
If you do decide to build the bike yourself, then look as some of the UK sites for your components, as they often sell them cheaper than an LBS can buy them from a wholesaler here in the US.
GH