When should I watch this?
Before or after The Matrix Reloaded?
Or should certain segments be watched at different times?
Doesn't matter really, I wouldn't say they spoil anything in the live action films. The first segment essentially 'sets up' Reloaded with the distress signal being sent to Zion that the machines are preppin to attack.
Others like 'Kid's Story' is just a short origin piece for the titular character shown in the sequels and others are pretty much stories within the universe taking place at various different times, The Second Renassaince Parts 1 and 2 being an entire prequel to the series showing how the humans and machines (or AI) first started to rebel against each other.