To elaborate on FFF's info:
If your goal is never to work for an airline, or in some occupation that won't need an ATPL eg flight instruction, then you need only the CPL & maybe the IR. Do those exams & flight tests and away you go.
If your goal is to work for an airline or elsewhere that mandates an ATPL OR gain an ATPL for some other reason, then you can do it the easy or the hard way.
Hard way: Pass CPL & IR exams. Do CPL & IR flight training & tests. Pass ATPL exams. When you have both the ATPL exams passed AND have the required minimum experience you may apply for the issue of an ATPL.
Note 1: Some exams are repeated between CPL & IR. Not sure if you get credit for them & only need to them once.
Note 2: All exams have a validity period and then your credit in them lapses. Don't do the ATPL exams until you're at least within a year or two of getting an IR. Keeping the IR current extends the validity period of your ATPL exams credits.
Easy way
: Pass ATPL exams. Do CPL & IR flight training & tests. When you have the required minimum experience you may apply for the issue of an ATPL. In JAR-land ATPL exams automatically give you credit for the CPL & IR exams.
Note: You will have ~2 or 3 years from passing the ATPLs to get the CPL/IR. After that your exam credits lapse. As per the 'hard way', once you have the IR, keeping it current extends the credits period of your ATPL passes.