i don't believe you need to play chapter one first, by why wouldn't you? the game asks if you played chapter one.
the file names are confusing though. most of us are going to download the 'current' one. should be named FutaQuest_Chapter2-v1.45 etc in my opinion. hope when final version comes out its a single download for all chapters. [edit] is see one is now named 'Part I - Futa Quest 0.65'