Hearts of Iron III uses a "nested" expansion model where each major DLC builds upon and requires the previous ones.
This guide covers how to set up and play the DLC Collection from GOG.com . 1. Installation and Setup Hearts.of.Iron.III.and.DLC.Collection-GOG
Use the GOG GALAXY client to install the game; it will automatically include all owned DLCs by default. Hearts of Iron III uses a "nested" expansion