For me, every element affects the others, so I have to work on them equally, a little at a time.
I start with an idea. Sometimes it's a dream I had, or a scene I envisioned. I'll take that idea and write out a very basic plot outline. Then I'll expound upon the concept. If I have ideas for specific scenes, I'll write them out. I'll generally do a one page detailed outline for the story. Once I have a basic idea of what the story is about, I'll start developing the characters. I start with the POV character and write a detailed bio, discovering who they really are. That, in turn, affects the plot.
Somewhere along the line, I decide where the story takes place. With my second novel, location wasn't very important. I chose London almost randomly. It could have just as easily been New York or any other large city. For my third novel, however, location was more important because it took place on an alien world. I had to plan out the setting with as much detail as the characters and plot.
It's sort of like drawing. You start with a basic rough sketch, then you go in and flesh it out. You add detail a little at a time, moving around the drawing. You don't focus on, say, the face, and draw the face in perfect detail, while the rest of the drawing is still roughly sketched. That would be foolish, because you might discover the head was in the wrong position and needs to be shifted a little, and all your detailed work was for nothing. Writing is similar--for me, at least. I constantly shift from characterization to plot, to setting, and back again, because each affects the others.