The first episode of The Walking Dead: Season Two is the base game application. All other episodes are DLC and require the base game with Episode 1 to be installed to play them.
If you have installed Episode 1 but do not see an icon for The Walking Dead: Season Two in your Games directory, you may have only downloaded the Episode 1 Trial version or Unlock Key. Both files are required to be installed on your console to play the full version of Episode 1.
To download files you may be missing, please log in to the PlayStation account used to originally purchase the game and open the PlayStation Store. On the main menu, scroll down and select the View Downloads button. You should see The Walking Dead: Season Two and the Unlock Key.
Please download and install both of these files. You should then be able to see The Walking Dead: Season Two under Games on your XMB.