You picked the worst entry point possible user. The best place to start with Ligotti is most certainly Songs of a Dead Dreamer or else My Work Is Not Yet Done.
Each starts with stories that are easier to understand, appreciate and follow and to get you into the mind set you need for his books. Songs of a Dead Dreamer, in particular, is perfect as you start off with The Frolic.
The Frolic is a very conventional horror story, written very conventionally for its time (1980s~) with a simple set up; a prison psychologist is talking to his wife about a meeting he had today with one of the inmates. It thematically starts off very safe and familiar and then the story slowly distorts and shifts, just like the tone distorts and shifts, as Ligotti's ideas are introduced.
Songs of A Dead Dreamer has more unique voices and more styles/ways of expression than any other piece of his work. Grimscribe, meanwhile, goes into his views in much greater detail and starts creating the thematic keys Ligotti uses a lot.
You read the first story, Purity, I assume so you may have noticed the usage of the colour 'green'. In Ligotti's work, colours such as green, red, white and black all have unique tones and implications which you only really find by reading cross his books. Likewise, when he starts to talk about puppets/masks/clowns, the greater the amount these adjectives are used, the closer to the end/a climax that story is.
My Work is Not Yet Done, meanwhile, is like The Frolic in that it's construction and premise is very normal and easy to get your head around. I read that first, then SoADD and if I had to go again, I'd read SoADD first.
You can search for Nethescurial and The Frolic online. Look for 'em, give 'em a read and if you like what you see, read SoADD straight through.
Hope this helps!