As of this edit, the most recent patch for Their Finest Hour is 4.02. The first two are included in the Hearts of Iron Collection and you have to install them before you install TFH.
These expansions, especially the last one, are considered important for high quality gameplay. There are essentially two types of versions: Games produced by Paradox Interactive invariably have many versions.
This article may contain outdated information that is inaccurate for the current version of the game.