I was under the impression that First/Second/Third World was a Cold War classification, like so -
First World - the industrialised, capitalist West, i.e. Western Europe, North America, Australia
Second World - the communist bloc, i.e. the Soviet Union, Warsaw Pact countries, China (maybe)
Third World - everyone else
With the disintegration of the communist bloc and the revelation that it wasn't a monolithic entity, the distinctions have blurred somewhat and the term 'Second World' is no longer really useful.