If you use the Windows Update site, simply start off by selecting the
Critical Updates and allowing it to install, then return to the Windows
Update site and continue. Often there will be updates to the updates you've
installed, especially if you haven't done it for a long time (or ever). Note
that some of the updates must be installed on their own, which means you'll
have to "remove" others from the list first. Suffice it to say, you don't
have to worry about the "order", as the Windows Update site will let you
know what to install.
After you have all the Critical Updates installed, check on the Recommended
ones for things that you might want to install as well. For the most part,
most of these should be installed as well, but that is usually up to the
user. If you are unsure, you can read more on each update via the link at
the site. Certainly, very little that you install will have a negative
impact (although, that is always a possibility).