I'm not positive you do, to be honest. I was using a beta version of Vista SP1 with the Boot Camp that ships with Leopard and it was fine. And some folks have reported the latest Boot Camp update has caused issues with their Windows installation. I now use Windows XP 32-bit SP3 as my Boot Camp OS and the new update caused no issues for me.
You can do it in any order you want. Remember, Vista SP1 came out months before Boot Camp 2.1 did. Whatever you do, just be sure to install them both. 😉