You, as a non-native speaker trying to get a good command of the language, are most likely to start with MSA. There are those who say that it is better to start with a dialect; however, there are disadvantages to this approach, most notably the fact that you have to limit yourself to one area of the Arab world. Which Arabic dialect will you pick? And secondly, reaching an advanced level in a particular dialect is hard and time-consuming. Without living there and immersing yourself in the culture, you will find it difficult to recognize the fine tunings of sarcasm, humor, anger, and local flavor. Thus, I recommend that you get a good command of MSA first and then familiarize yourself with some major dialects, perhaps one or two.