Depending on who you talk to, you either add the mild or the ice cream first. On the pros of “milk first”, you have a better notion of how much milk you've added to the mix. In ice cream's defense, pouring milk in second reduces the amount of splash that you encounter. In either case, you add any other ingredients third, in no particular order.
Blend, mix, stir, whatever, and you've got yourself a milkshake.