When we got the first of the discs in the mail I wondered why it said "Disc 2" on it. My logic was that "Disc 1" was just a bunch of special features (even though that seemed a bit backwards) and that's why they didn't send it to us. We started watching the three episodes that are the included on the disc and while I was a bit confused at the beginning I figured that was just the nature of the show - you know, get right in there and figure it out as you go without much background story.
Yesterday I noticed on the menu page of the disc that it was chapters 4-6. So it finally "dinged" in my head that I skipped over having Disc 1 sent to us and we missed the first three episodes. Then the dots began to connect - like why I was so confused during what I thought was the first episode.
Sometimes my logic and reasoning skills leave much to be desired.