A screen rubber with a locking strip as per Mini windscreens is designed to be put on the body first. One without a locking strip is designed to be put on the glass first - such as the non-opening rear windows and commonly used on quarter lights etc of other cars. I think it is Doug on here that knows the proper terminology for each type.
It can be done 'wrong' but it is more likely to tear the seal as the rubber is so thick at the point where the string needs to pull out.