I dont know how most people do it but I follow this route due to past lessons learned.
Install XP and HD drivers
Install Mobo Drivers
Use internet update
Install Vid Card drivers then update
From there I dont have much of a method, I just try and verify that my XP, Mobo drivers are up to date before my vid card drivers are installed and updated, then I check XP and mobo company to verify they have no updates on my card.
I do the video card after the motherboard, then I do all my hardware, then I install my virus software and firewall, then I do windows updates. I always have all my drivers loaded on a cd ready to go before installing windows.
I never go online without having my firewall and virus loaded first.
It really shouldn't matter, but I do typically start with motherboard drivers. I tend to get video cards fairly early too just because it's so difficult to work with a computer otherwise, but realize I'm normally surfing the internet trying to find the drivers