Learning how to become a self-regulated learner could benefit students in introductory undergraduate courses, such as computer programming. This study explores the perceived value of instructional and skill-building activities and students' self-efficacy to learn and apply programming skills in an introductory computer programming course. The instructional activities include code-demos through which the instructor demonstrates several cognitive strategies for self-regulated learning. Four different skill-building activities accompanied by Q&A sessions let the students model the teacher's practices, and apply various self-regulated learning methods to strengthen their programming skills. Surveys are implemented and analyzed to learn the students' perceptions of the task value of skill-building activities and the Q&A sessions and their reported self-efficacy for independent mastery, problem-solving, correcting errors, and experimenting with programs. Studies revealed that the perceived ability to master programming independently is significantly correlated to the perceived task value of activities that required students to complete programs similar to the instructor's code-demos. Students who report a higher self-efficacy for problem-solving also positively value the Q&A sessions through which they obtain help from the instructor to complete tasks on pre-written codes.