Welcome
please post in the intro thread!
Well you want to start with some kind of melody, or a beat on the drums. Usually, in my band, we'll come up with a riff on guitar, the bass will mirror it (and at some point maybe give it a few jazzy tweaks)) and we'll come up with a drum beat for it. From there on you just jam/add more riffs to the rest of the song, then fine-tune.
So the short answer would be to start out with rhythm, then bass, drums, lead and finally vocals. But you shouldn't stick to an order, if something fits first then throw it in there.