Generally, only the more significant royal family members receive the highest order of chivalry (Order of the Garter, Order of the Elephant, Order of Leopold etc). Those further down the line of succession may receive a graded order such as the Royal Victorian Order, Order of the Dannebrog or Order of Leopold II.
Sovereigns are each their state's font of honour and as such may make appointments as ordinary members of orders within the set guidelines of that order (Order of the Garter - 25). However, the limit does not apply to additional appointments of members of the royal family (being thus created Royal Knights and Ladies), or of foreign monarchs and heads of state (stranger knights and ladies).
Lastly, it can be argued that the House of Windsor does indeed have a house order (in the European sense), The Royal Victorian Order. This order is awarded for personal service rendered to Her Majesty The Queen, Her Majesty's vice-regal representatives and to members of the royal family. This order is strictly in the personal gift of Her Majesty, with recommendations being made directly to and coming from Her Majesty, unlike the other graded orders (The Bath, St. Michael and St. George and Order of the British Empire), all recommendations to which are made through the parliament.