I think you will be happy to get Vol. II first, if you want to jump right into board bow building. I too would suggest Vol. I after that. Tim Baker's chapter on design is thorough and intriguing for when you want to start thinking about cutting your own wood.
I agree the whole set is great to have. It took me several years to scare up spending money to buy all of them. Those first two are the nuts, bolts and structural things. III and IV have more of the fancy stuff and nonstandard approaches. (But, again, Tim Baker's chapter on a new look at other bow woods in Vol. IV is great and useful information, IMO.)