It's all relative to what type of server you have.
If you're installing NSM yourself on a linux or Solaris server, you should do a clean server install and then install NSM's server patches (that's the Linux System Update utilities if you're running linux, or Solaris System Update utilities if you're running a Sun box). Once that's done, run the actual NSM install script ( Linux Server Installer for linux, Solaris Server for Sun).
If you have an NSMXpress appliance, you'll want the Central Manager or Regional Server upgrades (depending on which mode you're running the box in - Central Manager is the top-level hierarchical controller, Regional Server would be any NSMXpress that's controlled by a Central Manager). The Offline Server upgrade is for an NSMXpress standalone upgrade if you have no internet connection.
The LinuxUI and WindowsUI are the desktop clients used to connect to NSM once the server is installed and running.
Good luck!