HTML & CSS
In which order are things downloaded from server?
The order they are displayed in the Browser?
Is it possible to change the download order manually for every use, so the important things get downloaded first, icons perhaps, and leave images last?
Yes it does download in the order that it appears (at least that's what I've been lead to believe is the default user agent procedure), as for controlling it, is there a reason why you need it to load in a certain order? It sounds to me like you might have a dependency issue in respect to the resources on the page.
Yes, I think It would be better if the layout was set before the image slideshow background elements get running.
It's ok, I think it would also be possible to do this with setting dummy hidden elements of important stuff before other, but it could get messy.