After finding the second note, I went looking for a list of all the notes and their location to make sure I wouldn't miss any (to get the achievement 'Collector'). When I couldn't find any, I decided to make a short guide.

Now you also understand why the location of the first note is very cryptic: I wasn't taking notes at that point yet. I may play through the first chapter again soon and add a more precise location. Should someone else be willing to post some detailed directions to the first note, I'll add them below, of course.

• Chapter one (hospital): on a desk in one of the rooms.
  
  
• Chapter two (parking garage and mall): before entering the mall, go to the top floor of the parking garage. You'll find the note on a crate.
  
  
• Chapter three (subway): after escaping from the giant statue, you'll enter the subway and follow the tracks there for quite a while. In the end, you'll come to another station. When you walk up the wooden beam to the platform, to your left you'll see writing on a wall. In front of that wall is a bench with the note on it.
  
  
• Chapter four (church, cemetery and park): immediately after leaving the subway, you'll see an open gate that leads to a church. Before entering the gate, look to your right. You'll see a bus. In front of that bus is a bus stop with a bench. The note is on the bench.
  
  
• Chapter five (forest): it's in the cabin, you can't miss it.
  
  
• Chapter six (amusement park): after entering the amusement park, walk straight ahead for a bit until you see a large building surrounded by a fence on your right-hand side. Enter this building and find the stairs to the second floor. On the second floor, you'll find a wall that has the text 'Stay with me' on it. Enter the room opposite that wall. The note is on a shelf in that room.