When does a latecomer sit for the first tashahhud if he missed one rak'ah of a four-rak'ah prayer?

If you join the Imam in the second rak'ah of a four-rak'ah prayer, you must follow your Imam. So, you sit for the first tashahhud after the second rak'ah for the Imam (which is your first), then you stand up in the Imam's third (which is your second), and you sit in his fourth (which is your third).