No you don't have to install them in order. Why do people always think that? I've installed my game with the EPs almost completely in the wrong order and so far it's working fine.
You don't have to, but installing out of order can cause problems, though not for everyone... so it is highly recommended that you install in order, and basically, if you choose not to and you have problems later, no one is going to have any sympathy for you.
