I got this DVD from the local library and was wondering which to watch first? I have never seen any B5 but I know that In the Beginning was made later but set before The Gathering so I'm not sure which to watch.
Short answer: watch 'The Gathering' first, B5 seasons 1-4 second and 'In the Beginning' third.
Is it the Special Edition of 'The Gathering' or the original cut? If it's the original cut then I have to say it's pretty bad and won't give you an accurate sense of what the series will be like.
'The Gathering' was a pilot movie and was made about a year before they finally came to make the series proper and there were a lot of small yet significant changes in the interim. Mostly aesthetic (costume & make-up design, radically different music composer, improved CG etc.) and a few casting changes, so it's still essentially canon.
The 'special edition' version as you might imagine was something they did much later. It's a top down re-edited and re-scoring with some hokey stuff cut out, some deleted scenes re-inserted some CG shots replaced with newer material (establishing shots mostly.) In short, it's the better and almost universally preferred version.