Don't concentrate so much on the order of what to do. Make a list of what you want to do and just do it.
My opinion is that the security programs (antivirus and firewall) should be the first things you install.
Next would be Windows updates.
Then you can do the rest of it.
Most manufacturers do not include disks with their systems. Instead they now have a recovery partition which takes the place of disks.
To find out if there is a recovery partition on your computer
Start>All Programs>HP Tools>HP PC System Recovery.
After you get your computer set up with all the Microsoft updates and security programs MAKE RECOVERY DISKS.
Instructions for this can be found here http://www.pctechbytes.com/hp/recovery-creation/
It will probably take more than one disk so make sure you number each disk when you take it out of the cd tray.
Put the disks in a safe place, do not lose them. You can only make 1 set of the disks. What I suggest is that you copy the disks at least one time. If the original disks become scratched, broken or unusable you will have a back up to use.