Starting a scene when it's already in the middle of the action can be a good way to grab a reader's attention right away. Starting a book this way can be especially arresting. But at some point it goes from being attention-getting to being just plain jarring. No one likes feeling like they've showed up 10 minutes late, and all the really good stuff has already happened. When it comes to writing a scene in progress, a light touch is the best touch.
What Did I Miss?
Setting up scenes can begin to get a little tedious, from a writer's point of view. You've got to figure out where Sally has been and which door she's using. Why is T.J. in the room and what has he been doing? How does it all start, what makes it all exciting? And on and on...and on. When you begin the scene already in the middle of the action, you've cut right past all this nonsense. But how much of that setup does a reader really need to keep themselves anchored in the scene? That's what you've got to figure out.
When you start a scene where something is already happening, the reader is going to experience a certain amount of disorientation. They're going to be scrambling to catch up and get their bearings, so you don't want to string them along for to long. Let them be surprised. Let them be jarred. Then, let them figure out what's happening and why. Give them a few lines of confusion, but then ground them. Maybe a character yells something to the other to let the reader know what's happening.
If you're starting a book and your opening scene is already in progress, it's even more shocking. Readers won't know what's happening, so try not to make your pace too quick unless you're going to divulge information right away. A slow pace lets them adjust to the writing and helps convey the sense that information will eventually be revealed.
Always strike a balance between what you're revealing and what you're keeping hidden, and give readers something to keep them grounded. Do it well enough, and they should stick with you until you're ready to let them know exactly what's happening.