To start a round of Jenga, begin by setting up the tower by stacking the wooden blocks in rows of three, alternating the direction of each layer. Once the tower is built, players take turns removing one block at a time from any level except the top three rows. The removed block is then placed on top of the tower, creating a more unsteady structure. The game continues in this manner until the tower collapses, with the player responsible for causing the collapse losing the game.