You will have a few things you will need to address:
Control of your robot
Powering your robot (both for the controller, as well as power electronics)
Any Feedback that your robot will need to sense the environment (where it is, etc..)
And lighting, other effects that you wish to develop such as sound / speakers, etc..
So there are already a lot of things you need to work on.
If you wish to do control, you have a few options. Some are free, others are not. I personally would recommend the free route, and that would mean developing your robot's software using free software. If you want to send real-time commands, you would have to develop a GUI - which can be costly if you purchase large software packages. I have never dealt with the CPU that you speak of, but they are all generally the same. This software will allow you to control your robot.
Secondly, you will need to provide control to your robot. This would most likely be accomplished via batteries. The batteries will need to provide power to your control logic, your LED's, and your high power electronics that move the robot and such. Those motors look fairly low power, but compared to your CPU, they suck up a lot of juice. Make sure your batteries can supply enough power. You will need some transistors, or H-bridges (fancy transistor setup) to control your motors. Your CPU will provide logic control, but your H-bridges will convert that into high power that can drive your motors and LED's. The cpu alone can't.
Feedback are like buttons, sensors, ultrasonic sensors, cameras, etc... anything that will help your robot sense its environment. Looking at the pictures, I've noticed that the robot appears to come with some simple rotary encoders. I would recommend reading up on them here: http://www.robotappstore.com/Robopedia/Rotary-Encoder
As well as a lot of other sensors on there that could help you out.
Speakers, lights, and other stuff will need to be purchased. Also, you will need chargers to re-charge your batteries (you will want rechargeable batteries).... that's all I can think of at the moment.
Hope this helps!