If you're looking for a general guideline, this is how I set my servers up:
1. Assemble everything (install add-ons, plug into power & network, rack mount, etc.)
2. Boot the server from the most current Firmware Maintenance CD, using supplemental firmware if available
3. Boot the server from SmartStart CD and configure array(s)
4. Install the OS
5. Install the HP support pack for the OS
6. Apply any needed patches to the OS
7. Install Apps