first is certainly getting your mother board drivers off the disk installed to get your internet working.
after that, either choice is acceptable. when you download a driver, you have the choice to run the install then or save it. "open" or "save". if you choose open it will download then immediately begin installing. if you choose save, you can put it on a usb, or even save it directly to your desktop or a folder if you like, then execute it when you're ready.
normally you're fine running them immediately, especially for the first install of them.
you will find the most up to date version of these drivers at the website for the manufacturer of whichever given component you're looking for a driver for. beyond the initial motherboard drivers to get your internet working, its usually best to get your drivers from the manufacturer as whatever is on a disk may work but also may be out of date. never know how long ago the disk was made.