There are numerous threads about this, even on the first forum page...
The install order depends on whether you have the HoI Anthology pack (it came with a medal, I think) or some other version. Also, if you got your game through steam or similar, you need to use the update feature provided by that particular platform.
Anthology: Install Armageddon, install either 1.2 (if you are a sissy) or 1.3beta2 (if you are a cool cat). Beware of the 1.2 installer, it will try to install to /doomsday, while you need to install to /armageddon!
All other versions: Install Doomsday, install Armageddon (into the /doomsday directory, but that will be done automatically), then install either 1.2 (if you are a sissy) or 1.3beta2 (if you are a cool cat).
