With my European copy of the game (I assume it's European I bought it in the UK, M2TW and Kingdoms seperately) I did it in this order.
1. Installed M2TW.
2. Downloaded and installed 1.1 patch (Probably not neccesary but I wanted to be sure)
3. Downloaded and installed 1.2 patch
4. Downloaded and installed 1.3 patch
5. Installed Kingdoms
6. Downloaded and installed 1.05 patch (EU, I seriously suggest US if you bought in the US)
Everything worked perfectly. Note though, on the 'Data' packs of each patch it took around 10 minutes for each one, so be patient with the patches.
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