Here’s an impressive set of Flickr photos with atmospheric Warhammer 40K images.
The AD Wars is a set of free wargames rules that are adaptation of Warhammer Ancient Battles for science fiction games. It’s interesting. You will need a copy of Warhammer Ancients to play, though. But there are a lot of copies of that out there.
Games Workshop offers a free pdf of its Warhammer 40K battle primer, which contains basic for moving, shooting, fighting, using psychic powers and morale, along with other material to get you started.