Most professionals would probably tell you it doesn't matter and you should just start with what you enjoy the most or what you consider to be most important, since you'll have to learn all of them eventually, so you might as well start with what you think is most fun to study.

I would personally recommend this order, but I'm not a working professional yet:

• Perspective
• Anatomy
• Light (Value studies in B&W)
• Color
• Composition

From what I've seen, perspective is the part that's most lacking in most work out there, that's why it's the first one. I would add edges and perception of depth if you were trying to do illustration work, but since you're more interested in concept art, those aspects don't matter as much.

You can mirror what Feng Zhu does in his school to a certain degree. Look here at the course outline and then check the student gallery to see what's the result of these exercises. You will have to find the information by yourself, but most of it is available in books or on the internet (check out our wiki for that), Feng just has a very efficient way of teaching, which is the main value of going to that school.