The first thing you should do, if you don't have a Windows 7 SP1 installation, is install SP1 (update KB976932). After that, install updates KB3020369, KB3125574, KB3172605 & KB3181988. These updates are available via the Microsoft Update Catalog (
http://www.catalog.update.microsoft.com/Home.aspx) and must be installed in that order. Installing these updates minimizes the number of other updates you'll need.
After that, simply let Windows manage the updates for you - it will install all that are needed in the order they need to be installed. After that, it will quite possibly do another updates check and tell you there's another round to install.
If you're installing updates manually, install them in KB number order.