You can complete the Captain's tasks at any time you choose, but it is HIGHLY recommended that you follow the instructions in the order that they're given. Otherwise, you risk slowing down your Haven's development by using up your resources too fast. You'll also be passing up an easy opportunity to earn Rubies early in the game. Some of the rules and instructions are complex, so take the time to learn how to complete basic tasks. If you wish to skip ahead, you can refer to the Help menu.
Be safe out there scourin' the seven seas, ye scallywags!