Installing WoW — What Order?

I picked up the WoW battlechest and all expansions yesterday and was wondering if there is a specific order to install them in?
By installing Cataclysm first, wouldn’t the version be more recent, therefore the initial update wouldn’t be as large? Is that how it works?
Answer #1
install oldest to the newest… the big update after the latest expansion is the only update you should need
Answer #2
I already tried that… but got an error when installing Wrath of the Lich King.
Answer #3
You can install which ever one you want.
the blizzard updater will patch the game to the most recent patch no matter what.
If you install the most recent game (cata), you will have less to download.
If you have problems installing, just download the blizzard installer from battle.net.
Answer #4
Well if you install: WoW -> The burning crusade -> Wrath of the lich king -> Cataclysm then there normally shouldn’t be a problem.
If you can’t install WotLK directly of the disc, you can always try to download it from their website. Don’t know if that should make a difference but it’s worth a try if your stuck