1. foundation is essential - most of us are not blessed with perfect skin. There are primarily 2 types of foundation, liquid and powder. It depends on your own skin type which suits you. I started out with liquid foundation, but found the result cakey, since I have combination/oily skin. Then I stumbled upon Chanel Double Perfection, it's the perfect powder foundation for my skin type. I've stuck with it ever since.
2. Concealer - this is an optional item. I don't use it, but I understand that if you want a very "professionl" make up, that's a good step, to cover up any scars, blemishes, spots etc.
3. Shading Powder - this is to create visual illusions or 3D effects on your face, to make your nose look taller, straighter, or make your face look smaller - again I don't do it, but it's part of a professional makeup job
4. Lastly, powder is basically for 定妝。 Face powder sets foundation (usually paired with liquid foundation) and can help prevent oil. Shimmering powder is just a type of powder, creates a shimmer effect. - I don't use either of these either - I'm usually just a powder foundation + lip gloss girl
But if you were to use all 4, then that is the order, 1. foundation 2. concealer 3. shading 4. powder (with liquid foundation)