Emotional changes for me started almost instantly, but a lot of that was just from the sheer relief of FINALLY embracing my transsexual desires after a whole lifetime of suppressing them. Because of that, I was almost instantly happier and calmer
Physical changes began their absolute infancy after about 2 weeks... I could see the very very beginnings of nipple development and the very very beginnings of facial/skin changes, but they were so subtle that I wondered if they were really happening or not, or if it was just my imagination. 4 weeks is about when these things ceased being possibly just my imagination, and it was obvious that things were indeed changing.
However, things didn't REALLY start changing, as far as to the point where they were becoming completely blatantly obvious, until the 2-3 month mark. And now 4 months in, with the way that my skin and breast growth and face are starting to look, this is about the first time that I'm really starting to feel female physically rather than just a slightly-feminine guy.
The important thing to remember, though, is that your mileage will vary. Some get changes almost instantly, some don't even get them starting until the 3 or 4 month mark. A lot of it is a genetic lottery, and how receptive your body is to the hormones.