nah you choose the order based on your preference, if you like to boot from cd's often then put cd first. I sometime boot from usb so i put that first (sometime) it up to you. The system will just go through the order and boot from the first one that it can, normally just the harddrive
the reason why most people put the HDD first is because it saves a few second of boot up time when the system is trying to find a cd, or a usb stick.