Does anyone know any reason an error could occur if I do not download version 1.1 of a package before version 1.2. Some functionality don't work unless I install version 1.1 before 1.2. I cannot download 1.2 directly and skip over 1.1, although there are no new fields, objects etc added in 1.2. Just some small changes in its controllers code and its corresponding visual force page. Is it a salesforce problem?
From the comments, it seems that your package has OnInstall code - and that code assumes that upgrades are done sequentially without skipping any steps.
The code should be rewritten to perform all steps, in order, required for every version since the previously-installed version. For instance, if installing 1.2 on top of 1.0, the code should execute all steps for 1.1 and 1.2.