Just got this as part of the Trilogy, and as expected back when it was announced...
The game's on the first disc with Killzone 2, BUT!...you need to install it in order to play it.
When the first disc is on the PS3 (disc #2 is Killzone 3), you see 2 things:
-Killzone 2
-Killzone Extras
"Killzone 2" of course lets you play Killzone 2.
"Killzone Extras", gives you the first game and the digital manual for the 3 games. The first time you click on the first game, it installs a little over 3GB. You need the disc to play the game (like the Journey Collection).
Don't know if in other regions is the same, but NTSC is like that.
So, like I also said back then...those looking to save some HDD space by buying this Trilogy, keep that in mind...cause you won't. You only save download bandwith (i.e. the inFamous and God of War collection...which included vouchers to download part of the games). In my case, I just wanted the 3 games for a relatively small amount of money.
That aside, it looks great and plays great. I already was a fan of the first game, so it's nice to see it in HD.