I just recently purchased the battle chest and tried to install, first thing that happens when i put in the disc is it prompts me to install burning crusade, this makes no sense wouldn't i need to download WoW first then the BC

I haven't seen the battlechest in a while, but doesn't it come with WoW and BC?  I mean, dumb question, but are you sure you have the right disk in?

Just click next, that's how you install everything.

Ya it has 2 disc, i put it in the one labeled "DVD Disc 1" and it begins to download the burning crusade, i went to my bnet account and authenticated both games and am dling WoW vanilla off their client is there anyway to download burning crusade off there without putting the disc in?

Well, who cares the order as long as it all goes in? 
Will it not let you continue? or were you just curious as to the order?

" Ya it has 2 disc, i put it in the one labeled "DVD Disc 1" and it begins to download the burning crusade, i went to my bnet account and authenticated both games and am dling WoW vanilla off their client is there anyway to download burning crusade off there without putting the disc in? "

Thank you for your help, i look at my summary of games and it just shows burning crusade but when i click the "+" it shows World of Warcraft under that, does it just stack and show the latest expansions instead separate entities
 
 
*Edit* ok so the client has popped up and is im assuming patching everything through the "Step 1, Step 2, Step 3" process, once this completes how would i go about installing burning crusade through battle.net online, and i apologize for all the questions but i'm completely new to WoW

Yeah don't bother with the disks. The patch you end up having to download is probably pretty close to the size of the client.  
 
Go to battle.net and punch in all your keys and download the client. You'll have everything associated with your account. You can't have the burning crusade without world of warcraft. 
 
I'm not 100% sure but I think the client download includes everything available right now and it's just a matter of which stuff is unlocked for you to have access too.