Suppose I have 3 dices. I throw them. I want to get a {1,2,5}.
So I do this to get the probabilities:
\[\frac{1}{6} \cdot \frac{1}{6} \cdot \frac{1}{6} \]
In this case, have I considered other combinations like {2, 1, 5}, {5,2,1}, etc?

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You have not considered those other cases. You're assuming you get a 1, 2, and 5 in that order.

If I want to consider, what should I do?

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