XP comes with a lot of drivers already loaded. I would guess that more than half the items I plug in are recognised with no further input from me. Plug into the USB port, a short pause, a beep and a message to tell me a new device has been detected, then a pause while it looks for the drivers, then a message that my new hardware is ready for use.
HOWEVER ... some devices may trigger the "wrong" driver. If you read the instructions with the device, it will tell you whether just to plug it in, or to run an install programme before you do. Follow those instructions, and you can't go wrong. Look for "XP" rather than "98" or "ME" in the instructions.
I don't know which device you mean by the "AV". If that's anti-virus software, then yes - install it first, before the ADSL modem. Then, as soon as you have the ADSL working, get it to update its virus data file off the web (but AFTER the firewall/Zone Alarm).
If your ADSL modem doesn't have a built-in firewall, then download and install ZoneAlarm free as soon as you have your internet connection up and running. It's amazing how quickly the vermin will find you and start poking around inside your PC otherwise.