The etiquette is simple: if the other job does come through, then you should inform other opportunities that are being pursued immediately to let them know that you have accepted a position elsewhere.
You do not need to inform the other employer that you are interviewing with any other companies. You should not inform the other employer that they are second-best. You should approach the application process as if they might be the best job for you now. You might find out during the application and interview process that they actually are more interesting than the one that you thought was most interesting.
If, at some point during the application and interview process with the second company, the first company finally comes through with a job offer, then you have a decision to make. If the second company is still less-desireable, then you can tell them that you have accepted another offer and thus need to remove yourself from consideration. If the second company seems more desirable than you originally thought, you can tell the first company that you have been interviewing elsewhere and would like to see that process through so that you can compare their offers side-by-side. This has the benefit of giving you something to negotiate with if one offer is better than the other.
If the interview with the second company results in a job offer before the first company, and the job offer is one that you are seriously considering, then you can say that you have interviewed with other companies and that you would like to be able to compare the offers so that you can make the best possible decision. You should then tell the first company that you have a job offer elsewhere. If the first company is really interested in you, a job offer elsewhere can make a slow process suddenly move a lot faster. In this case, you should tell the second company how long to wait, and to be prepared for them to push for them to reduce (or remove altogether) that amount of time. If the first company is only stringing you along because you're an okay fit for the open position but not their first choice, then this might be the point where they finally let you know that they've decided to pursue other candidates.