I think you're talking about *.md5 files that are file to check that you downloaded the correct files and that they're not corrupted.
Type in:
md5sum -c <name of file>.md5
to make sure there's no problem with your downloaded files.
By the way, packages are the *.tgz files, not the tar.bz2 files which are the source files (to be compiled).
tgz packages are located in directories:
<your ftp mirror>/slackware-11.0/slackware/kde
<your ftp mirror>/slackware-11.0/slackware/kdei
If you want to install a full KDE environment (i.e. all Kde packages), it doesn't matter the order of installation. Just type in:
cd <your download directory>
installpkg *.tgz
as root. Of course make sure your download directory contains only KDE packages.
If you want to install only a minimal KDE environment, install the following packages:
- qt
- kdelibs
- kdebase
- any kde-i18n-* suitable for your locale
I don't think the order matters but following this sequence doesn't hurt.
But you won't get that much as far as features are concerned. So you'll want to install the following:
- amarok (audio player)
- koffice (office suite) and its koffice-l10n-* (localization)
- kdemultimedia
- kdegames (for fun)
and so on.
You'll find further information on kde packages here:
http://docs.kde.org/