Umm, if you're playing the originals on the original xbox, start from the beginning. (I tried bound in blood on ps2 and it was painfully awful, but I loved hill 30 on xbox and hell's highway was also sweet on 360)
I highly recommend starting from the beginning. The series is built on strong continuity (mostly between the 1st and 3rd) and the sequels don't do much to fill you in on what previously transpired.