From the Wikipedia entry about the show:
Episodes (Intended Viewing Order)
1. "Serenity"
2. "The Train Job"
3. "Bushwhacked"
4. "Shindig"
5. "Safe"
6. "Our Mrs. Reynolds"
7. "Jaynestown"
8. "Out of Gas"
9. "Ariel"
10. "War Stories"
11. "Trash"
12. "The Message"
13. "Heart of Gold"
14. "Objects in Space"
The pilot should be a two hour episode, and then "The Train Job" is the second episode. You're doing the right thing by watching the series first and then the movie.  While the movie is excellent on it's own, I think you'll enjoy it on a much broader sense having watched the series first. Just be ready to be really upset when you finish and realize that there isn't anymore! 
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"The world is so exquisite with so much love and moral depth, that there is no reason to deceive ourselves with pretty stories for which there’s little good evidence. Far better it seems to me, in our vulnerability, is to look death in the eye and to be grateful every day for the brief but magnificent opportunity that life provides"
-Carl Sagan
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