I am wanting to know what all I will have to do or should do, if I have not filed my taxes in the last 3 years and want to file this year. I may be missing 2 W2's as well from 2 or 3 years ago, but i know for sure that I have all my current W2's for last year and this year if that helps?
You can file your 2018 Tax Return using TurboTax Online. To prepare Tax Returns for prior years, you will need to purchase and download the software to prepare the Tax Returns. These returns will need to be mailed in as only the current year can be E-filed through TurboTax. Here is link to previous years product options: TurboTax Previous Years Products.
Keep in mind, you have 3 years from the due date of the return to file and claim a refund. If you are due a refund for 2015 Tax Return, you need to file it by 4/15/19.
If you are sure you have all of your W2s for 2017 & 2018, you can go ahead and prepare and file those returns. You don't have to wait for the prior year's returns to be filed first.
In regards to your missing W2s, you can get a copy of your Transcript by creating and logging into your IRS Account. Your transcript will include your W2 information: https://www.irs.gov/payments/view-your-tax-account. Click on the "Create or View Your Account" link.