what should install first??

Clarifications

You first need to install all of the Hardware Drivers before you start even thinking about functions of the OS.

Col

The servers function will dictate what gets installed first.
you need to think, ie you want AD on the server, AD needs DNS, so you need DNS install, what does DNS need, etc, but you dont need DHCP. Is the server on the DMZ? is it a web server?

As Col said, get you drivers in first, and all the hardware set. But also determine the function of the server. Once you know that, research what dependencies each function needs. and that will list out what order you should install things in.