Next, download the paper forms (it is too late to file electronically) for all three years from http://www.irs.gov and fill in the blanks. Sign them and mail them to the IRS.
you file any return that you are r'qd to file
if your income did not exceed your personal exemption and standard deduction(or itemized) you do not have to file, except to file for the refund of withheld income taxes that year
you can ask irs for a transcript for the year you are missing the W-2 it may have enough information for you to correctly file
otherwise request your then employer, or possibly the Social Security Administration
It doesn't matter where you begin, just get them all filed.
If you haven't been contacted by the IRS after 3 years, it probably means you don't owe money. If you don't file they run a quick estimate for you based on a worst case scenario of standard deduction, no personal exemptions, no credits, etc. If that estimate says you owe money, they'll come after you and you either have to pay up or file a return to claim your exemptions, credits, etc to prove that you don't owe. If that estimate says you are due to get a refund, they'll leave you alone and keep your money.
Its already too late to claim a refund for 2005 and earlier. The deadline to claim a refund for 2006 is going to be April 15th 2010, so make sure you file before then if you're going to get a refund.
Go to IRS.GOV and under free forms you can pull up and print the forms and instructions with tax tables and yadda. If you need a W-2 contact the employer and have them run off a copy of theirs (Copy D) and you can copy it to have one send in with your return. After three years you forfeit your refund so get cracking on the first year asap.
irs.gov, use form 4506-T to get the missing W-2.