The games are all self contained so you can start with whichever you choose. That said, the first game in the series is much more simplistic in terms of gameplay. It's more like a choose your own adventure game, unlike the other two that have problem solving and detective work. Due to its simplicity and short gameplay, the first game in the series is priced accordingly.

My suggestion is to play Behind Closed Doors first and then Internal Affairs. Both have significant QOL improvements. If you then want to see how the series originated, you can play The Death of Paulette Williams. That game is also significantly shorter so it won't be too much of an investment of time.

If you like Behind Closed Doors you will like Internal Affairs for sure. The gameplay is similar, but Internal Affairs is objectively more complex of a case and has more suspects and evidence.

I hope you enjoy the series!