The top link in my signature touches on the topic of protecting your system from worms when it's in its vulnerable just-built state. As for the order to proceed, I'd go
Unplug network cable
Install Windows
Give all accounts strong passwords to thwart share-hopping worms
Patch Windows with SP2 offline (go get it in advance and burn to CD)
Enable WinXP's firewall
Install Microsoft Baseline Security Analyzer 1.2.1
so now you have the known weaknesses eliminated, plus a firewall and DirectX 9.0C. Next...
Install mobo chipset drivers, reboot
Install video drivers
Install other drivers
Take a snack break while running Defrag
so now you have a patched, firewalled system with its drivers installed.
Install antivirus software and configure it to play hardball
Plug in network cable
Update antivirus software
Check for Windows Updates
Run Microsoft Baseline Security Analyzer 1.2.1 for more dirt on your security
Hope that helps