Can anyone help me on The Melancholy of Haruhi Suzumiya?

I am sooo confused. I started to watch it..but when I went from episode 3 to 4...someelse was there, and he knew about all this alien stuff. I can't find the right episode in between that! is there any certian way I have to watch it...or does this series go that way. And if it does...why? T.T Thanx in advance! :D