A module contains your training content. A course contains multiple modules, like a curriculum. A group is the delivery of your program.
You can start anywhere, however here are a few basic guidelines.
Start with a group when you have new clients or a new group program coming up.
Start with a course when you want to create a new course, coaching program or a customized training program.
Start with a module when you have content to add (video, audio, PDF, documents, etc.).
The order in which you create each item does not matter as long as you connect the components when you are ready to run a group: modules are added to a course, then a course is attached to a group.