There are seven volumes altogether. The first of these was The Hard Goodbye, the stories in which were first issued in 1991. Since 2005 it has been available in book form, and the plot of The Hard Goodbye is also the main basis of the 2005 film Sin City, starring Mickey Rourke.
However, there are other novels in the series that deal with events before this one opens, so it's not the first chronologically.
The last in the series is Hell and Back, which came out in 1999 and was pubished in book form in 2010.
The landscape and atmosphere of Miller's Sin City are said to be based on Los Angeles, where he lived for some years when he was younger.
Frank Miller has written other graphic novels as well, including The Dark Knight Returns and The Dark Knight Strikes Again based on the Batman Series.