Explain computer game expansions to me

Alright I just bought Myst: Uru. Myst: Uru comes with two expansions. So how exactly does this work? Do I play Myst: Uru: Ages Beyond Myst first, then the other two? Or do I download all three together then play them?

I’ve just used up a years supply of colons typing this.

I believe they are to be played in order

Uru: Ages Beyond Myst
-then-
Uru: To D’ni
-then-
Uru: The Path of the Shell