Closing the payroll module at year end does not have to be done in a certain order with the other modules in Microsoft Dynamics GP. More importantly it has to be done before your run your first payroll for the next year. Example if you are closing 2009, you must close 2009 payroll before running your first 2010 payrun.
The order of closing all other modules in Dynamics GP is important. The modules need to be closed in the following order: Inventory, Receivables, Payables, Fixed Assets and General Ledger.