To add to Nadim's reply (definitely read the quick start and installation guides), we generally recommend the following order:
Resource Manager Essentials
Internetwork Performance Monitor
Device Fault Manager
However, the only real requirement is that Common Services is installed first. All the other apps can really be installed in any order you'd like (you don't even need to install everything). The reason for the above order is that it requires the least amount of rebooting on Windows.