Falcon is right, except for a recent change. The current load order is TGA --> JPG --> DDS --> PCX --> TGA. The last TGA is to get interface art which may be in TGA format but setup so that you don't have to specify -jpgtga in order to use it. This follows the original load order of PCX --> TGA.
For VPs it depends on whether you use a mod or not but say you are then it would go like this:
moddir/data/<all files>
moddir/<all VPs>
gamedir/data/<all files>
gamedir/<all VPs>
The VPs can be found under 'data' too so they don't all have to be in the same directory. Anything in a mod, whether it's a file or in a VP, will take precedence over all other files.
