Expectations of the sound you'll get is something you need to get your head around and to a large extent depends on what music you listen to. The demands on a system playing a single vocal line with acoustic guitar are a lot different from the same system playing Wagner in full flight with an ninety piece orchestra and multiple vocalists. Clarity is the thing here, not just raw power. Focus on the three components - CDP, amp and speakers. At the end of the market you are looking at, there aren't going to be vast differences between players at around the 200 pounds mark. Someone has recommended the Cambridge Azur 640 CD and amp and I would second that. These have been well reviewed even where I live:
http://www.audioenz.co.nz/2004/cambridge_azur.shtml
I realise this is more than you might want to spend on these items but if you spend less you're going to be disappointed. See what the same reviewer said about the cheaper model from Cambridge.
http://www.audioenz.co.nz/2005/cambridge_azur540.shtml
This doesn't leave much for the speakers but as someone has said, the source is paramount. A crap sound will still sound crap through 5000 pound speakers. So maybe 800 pounds won't be quite enough BUT
My advice to young guys buying for the first time is:
Be patient. Saving just a bit cash more might be the difference between a good system and an outstanding one.
Try to build up a rapport with the dealer. That way he's going to be agreeable to home trialling. Don't buy anything until you've tried it in your room. Particularly speakers.
Trust you ears. Make sure you take CDs with which you are familiar when you visit dealers and its not a bad idea to make some notes as memory joggers of what you heard as most people have poor retention of the sound a system makes
Ross