3. Install Morrowind GOTY. If you don’t have the GOTY edition – install Morrowind first, then the two official Expansion packs (in this order: Tribunal / official Tribunal patch / Bloodmoon / official Bloodmoon patch). The expansion packs are excellent and well worth having.
For potential speed gains, you may want to install to C:/Morrowind rather than C:/Program Files/Bethesda/etc. Older games generally do better outside of C:/Program Files/. You may also wish to install to a recently defragmented hard drive. You will need up to 4Gb of free space on your hard-drive.