Go to the library and find a book that has been analysed. Read the book first, write down your conclusions, then read the analysis and see how it compares to your conclusions. Note how much you missed. Then try again.
Should I read short stories first or long stories first in order for me to improve my reading comprehension skills and my reading critical skills?
Rule of thumb: Read whatever you ENJOY. The more you read the more you will improve. If you don't enjoy the stories, books, magazines, news reports, even comics you read, it will become a chore. You'll learn more quickly if it's fun to do.
Keep a dictionary nearby.