* Chain Links: Chain links work on a "respond to" basis. You can only chain a card to an effect that is currently resolving on the field.
* Dust Tornado's Effect: Dust Tornado's effect is a "Quick-Play Spell" that destroys a Spell/Trap on the field. Once the effect resolves, it's done.
* Setting a Card: Setting a card is not an effect that can be chained to anything. It's a basic action in the game.
In short, you can't chain a second Dust Tornado to a first one because there's no effect happening on the field to chain to.
What you can do:
* Play both Dust Tornadoes in the same turn: You can activate one Dust Tornado, then activate another during the same turn if you have the resources.
* Chain a different card: If a card's effect is resolving on the field, you might be able to chain a different card to it, even if your Dust Tornado is already on the field.
Let me know if you have any other Yu-Gi-Oh! questions!