Security updates or virus definitions?

You should never connect to the Internet without a software firewall.

Since you have the Trend Micro firewall already, update this first. Then update anti-virus software, then Windows updates and lastly make sure you have anti-spyware (Spybot is ok but you should purchase one of the top two currently available for better protection) and Adaware (free version is fine). Be sure to scan weekly for all of these.

I doubt you'll hear any different answers. Always go with security/protection before anything else.

Do things in this order:

Firewall
AntiVirus
Router (if applicable)
Updates
Spyware/Malware protection and updates

You are doing great, is my 2 cents and it is the right question.
You have correctly put firewall first imho but second should be Windows updates. If this pc never been on internet and it has firewall you are safest going and getting your windows and office patches first then the anti-virus updates.
Norton Corp will let you download and burn onto a CD the latest defs so you can take to pc without putting it on internet. kinda anal. i am just saying. i would be surprised if TrendMicro doesn't have similar.
If you pop for Technet sub from MS you can get cd's with patches after they come out. so you always need to apply the very latest using the internet but you can get most of the stuff on there without.
I applaud your paranoia and agree that ounce of prevention worth weight in gold in this weird time of wacky hacky...