What software should I install first?

For the record, order is important here...

Firewall

This is perhaps a surprising first item on my list, but it is critical.

It may also not be a software install at all.

If you're connecting your PC directly to the internet, I strongly recommend that you either enable the Windows firewall (it should be by default, but definitely double check), or install a software firewall of some sort.

The problem is that there are constant attempts to infiltrate unprotected computers via their network connection. A firewall is the first line of defense in protecting your computer from this form of malware infection.

In recent versions of Windows, turning on the Windows firewall is probably enough.

Of course, if you're behind a router, you're done. In my opinion, no additional firewall is required.

Updates

It may also be a surprise but I prioritize getting Windows as up to date as possible before installing anything else. I put the firewall before this because updating Windows will probably take some time as updates are downloaded from the internet and you need to be protected while that's happening.

This is also the best time to install updates because they stand a significantly lower chance of failing for some reason. Problems with other software on your machine and of course malware can cause Windows updates to have problems. By installing them first before anything else, you minimize the risk of running into problems.

Use the Windows Update menu item repeatedly until it says there are no more updates available for your machine.

Anti-malware

This used to be two or more steps, and still can be, but for the average computer user, I recommend Microsoft Security Essentials as a good, one-stop anti-malware solution - both anti-virus and anti-spyware. Naturally, let it get up-to-date and perform a scan before you proceed to installing other things.

I do have a few alternatives listed in What Security Software do you recommend? in case you'd prefer not to use MSE or you're having problems with it.

Optional: consider installing WinPatrol at this time as well. As you install more software, you'll be alerted to the various startup entries and other system changes that each install performs. In some cases, you'll be able to opt out of some of the classically annoying ones like the QuickTime "qttask" application.

Backup

Whatever backup solution that you choose, now's the time to put it in place.

In fact, this is the perfect time to take a system image snapshot of your entire system. Save this somewhere and if you ever find yourself with the need to reformat and reinstall, you can revert to this backup image instead. That effectively reformats and reinstalls the Windows restores in the same operation with all of the updates and installs that we've done to this point.

I use and recommend Macrium Reflect. Skip advanced features in favor of setting up your own schedule of full and incremental back ups. It's also the perfect tool for taking that initial system image. Don't forget to make a Bootable Rescue Disk using Macrium as well; you'll need that should you ever need to restore your system image.

That's it

I told you that my list would be short.

What you install next ... well, that's up to you.

This would be a good time to install a replacement browser if you don't plan on using Internet Explorer, or your mail program, or perhaps your Office applications. Basically, any of the "big" and complicated installs for applications that you know that you'll be using frequently.

This is also the time to make any customizations that you'd like, such as tweaking Windows Explorer.

Finally

After you've installed everything and perhaps even started using your computer a bit, I'd take another system image snapshot.

Sometimes, you don't really need to go back as far as the bare minimum that we captured in the first system image that we took earlier. Sometimes, this point in time - with all of your applications installed and all of your customizations applies - is just as good of a point to restore to should you find that you need to in the future.

It can save you a lot of time.