what i know is if you do not use the first (leg, as you mentioned) flight, you will not get to take the second one...not sure about the third -fourth and anything after that.

in my case, i was going to fly one way from JFK to DFW. One way ticket was 600+ and round trip was 225 or so. So, i bought one for DFW-JFK-DFW. Then i found out that i would not be able to use JFK-DFW if i did not use DFW-JFK first. So, I had to change it to JFK-DFW-JFK. Then I took the first flight and skipped the DFW-JFK part...then I had to pay 100 dollars to change the flight from DFW-JFK-DFW to JFK-DFW-JFK.

hope that helps a bit, at least...