If b>a, and (b-a) is even, then the first player can win by leaving two equal strips either side of his initial move (of a square of side a) and then using a strategy stealing argument.
If b>a, and (b-a) is odd, then a first move of a square of side a-1 can leave two equal strips either side and a strip of height 1 above the square. If a-1 is even, the first player can again use a strategy stealing argument to win, I believe.
-EDIT- If a=1, in the above scenario, then b is even and player 1 will lose (thanks to TonyK for pointing that out)
So the only other options to consider would be when b>a with b being odd and a being even.