I guess, if you want to get technical, there was a movie released in 2002 that was called Men in Black 2, but it has no connection to the far superior "Men in Black" released in '97. Though there's a passing similarity between the two, some of the character names are similar and I think a few actors have credits for both movies, but there's nothing to suggest that one film is the sequel to the other.
You'll notice, for instance, that the character of "Agent K" in MIB2 has suffered a failed marriage and works an unfulfilled life as a postmaster. Trying to connect this person to the "Agent K" of Men In Black is laughable, as that wouldn't make any sense with what we know of that character.
And it wouldn't work at all with the ending of MIB, since it implies a happy ending for K.
If you must connect the two movies, simply because they're named similarly, think of MIB2 as fan fiction. Robert Gordon was not, in fact, writing a sequel to MIB when he wrote MIB2. Rather, he was creating a crazy "what if" scenario set in the MIB universe, which was never intended to be taken as canonical.*
It's the only reasonable explanation.
*Matter of fact, I think he wrote some decent Star Wars books. (scroll down to "The Story")