Is this the proper order of wall components, from interior to exterior?

Frame the house first, this is the wood studs. Install exterior sheathing such as o.s.b. plywood over the studs on the outside. Frame and complete the roof so you are not dealing with rain, wind, etc. Do all the wiring and plumbing in the outside wall cavities, then insulate the walls on the exterior between the studs, Install the vinyl siding, brick or whatever after you install all the windows & doors. Hang the drywall on the ceilings next and then hang drywall or sheetrock on the walls. Drywall and sheetrock, gypsum board are all the same term for the same material. Sheetrock is actually a brand name of drywall.

Drywall or sheetrock--same thing by different names--goes on the interior walls of the house, on the inside of the house. It makes the surface you'd put wallpaper on, if you used wallpaper. Siding is the outermost layer, under which there is house wrap and then sheathing, going from outside towards the inside. The sheathing and the drywall are both attached directly to the wall studs, though you also use vapour barrier before attaching drywall to the inside wall, sheathing on the outside of the walls and drywall on the inside.

Lets start from the outside in. First brick or other cladding. Then an air space.

Then Tyveck or other "wrap". Then sheathing. Next insulation between the

studding. Next plastic vapor barrier with all seams taped. Next drywall board,taping,

mudding, sanding. Then primer paint. Then finish paint of 2 coats.

I may get corrected on this, but I have never heard of putting sheetrock/drywall on the exterior. Otherwise, you have it right. Sheathing, house rap moisture barrier, then siding. If you are putting on anything besides siding, like brick or stucco, there may something else.