The liquid should go first, then the pill(s). That way you never have to taste the pill and you can swallow it immediately.

I've never understood why popular media always shows people putting the pill in their mouth then grabbing a drink of some description to swallow it down.

Edit because so many people seem to either misunderstand the method or are incapable of understanding how it's possible to open your lips without spilling the water in your mouth - You simply take a swig of water, hold it behind your top teeth with your tongue like a reservoir, open your lips to place the pills under the tip of your tongue and swallow in one motion.