First, a practical point. This is the same collection that was originally published in the US as 'Windy City Blues', so don't buy both.
This collection of stories is likely to appeal mainly to readers who are already familiar with V.I. Warshawski and her milieu. I came to it after nine of the novels, and found that it added considerably to the character development of many of the series regulars. But the main thing is that the stories themselves are great, especially the one written specifically for the collection, 'Grace Notes'. Paretsky clearly uses the short story form to play with some of the conventions of the genre, and breaks out of her 'hardboiled' pigeonhole with some of them. Sherlock Holmes and Agatha Christie are namechecked, and 'The Maltese Cat' provides a nice homage to Dashiell Hammett.
If you're someone that doesn't normally read short stories, but are still a Paretsky fan, then don't be put off. The best of what is here are almost as engrossing as the novels, and at the very least they are all a bit of fun. If you've never read Paretsky before, don't start here - pick up the omnibus volume of the first three novels (Indemnity Only/Deadlock/Killing Orders) instead.