Be sure the front derailleur is set up properly for chain and chainring clearances. You should be able to get all cogs when in the big chain ring, but small-small gear combinations may not be achievable without rubbing in extreme circumstances.
Most importantly at step 5, once a front derailleur has been installed: Place the chain on the largest rear cog and the smallest front chainring. Adjust the low limit screw so that the cage touches the chain very slightly when pedaling, and then adjust the limit screw slightly so that the cage moves away from the chain and no longer rubs (about 1/8 of a turn). The chain should be positioned close to the inner cage plate without actually contacting the plate. Do this before setting the cable. This is vital to making sure the derailleur is set to function at full swing across the full cassette range.