Brainstorm ideas for your central conflict for your first story. Know that conflict drives every story, and without it, your story will have no point. The most basic way to incorporate conflict into your story is to give your main character one goal that he cannot achieve. It is up to you to select the conflict that prohibits the protagonist from reaching his main goal. Every genre, even comedy, follows this format. When selecting your conflict, keep in mind the commonalities you want to maintain throughout all of the stories that will make up your book. Write a conflict that serves the main character, theme or style you hope to achieve through your short stories.
Create your main character, the protagonist, in the first story. Once you've selected a conflict, it's up to you to create a character that will serve the story or stories well. For example, if your conflict is solving a crime, you can make your character a rookie detective on his first case. Or if you want to have a recurring theme of moral dilemma throughout your stories, create a main character or characters who have skeletons in the closet from their past that will effect the decisions they make.
Decide on the antagonist. This will be what drives the conflict and stands in the way of the main character reaching his goal. The antagonist can be a character or a situation. Most people think of the antagonist as the "bad guy" that serves as a foil to your main character. However, it would not be a mistake to make the antagonist a fear or dilemma faced by the protagonist rather than an actual person. That decision is entirely up to you. Similar to the main character and conflict, it is crucial to select an antagonist that will have similar qualities in all of your stories.
Structure your story. Since you are writing short stories, you will want to pick an appropriate time span for your events to take place. Ideally, one short story should take place in a short amount of time, usually no more than one to two days. This is the point when you get to put your protagonist, antagonist and central conflict together to form a story. You will want to escalate the tension as the story progresses. Make the goal seem harder to reach for your main character as he goes along until your climax where the story will turn around and lead to the resolution. Even with the same character in every story, he should still have a different goal in each story.
Rewrite. Over ninety-percent of writing is rewriting. There is a saying amongst writers that "first drafts are crap." Get as many people as you can to read your story and give you feedback. Continue rewriting until you feel satisfied with each of your stories.