You can start anywhere. Literally anywhere.
Jeeves and Wooster exist mostly in the Genteel Interbellum, and time never really passes. Everything happens at once. Mostly. Grab a story, any story. Bertie will quickly sum up anything you might need to know, and then you’re right away into the fun.
Starting with the shorts is nice, because the plots are quick and easy and you can get used to Wooster-tongue. Then you can chew into a book and enjoy how Bertie is screwed six ways from Sunday before the story even starts, oh, it’s super delightful.
Why not start here? It has the advantage of being free! And then if you like it, oh, my, there’s a lot more!
I would like to make a suggestion as well~
If you do find out you enjoy them and would like to read them in dead tree form: the way all these things were published can be a bit daunting and messy, with some stories showing up in this book, and then again in that book, etc etc, but the best way to catch ‘em all is to sort of follow what little continuity there is. “The World Of Jeeves” is a massive book that collects all the short stories in order. Then you can grab the novels and have a good strong Jeevsian foundation (and again, if you want to know the little background stuff, you can read the novels in publishing order too, but Bertie will literally spend two pages giving you backstory, so it’s all good). The wikipedia article about this series is surprisingly helpful about how to tackle all this stuff.
(You should all go read and watch Jeeves.)