WordPress load is complicated process and hard to grasp in full. The very basic overview would be like this.
What you should do for starters – think in specifics. A lot of common tasks (adding scripts, using hooks, etc) are standardized technically or conventionally. So go by task – decide what you want to do and search (and ask if search fails you) what is appropriate way to do it.
PS latter part of your question makes little sense to me, please try to clarify.
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