Most people tend to put the alcohol in first when making mixed drinks, but there are a few exceptions to this rule. For instance, when making a Margarita, it's generally recommended that you put the lime juice and other mixers in first, then add the tequila last. This is because adding the liquor last helps to prevent the drink from getting too watered down.
Similarly, when making a Fuzzy Navel (peach schnapps and orange juice), it's best to add the schnapps last. This again helps to keep the drink from getting too diluted.
So as a general rule of thumb, most bartenders and home mixologists will tell you to pour the alcohol into the glass before adding any mixers. However, there are always going to be exceptions to every rule!