The order i always heard people explaining 40k was:

1. An explanation of what the warp was before everything
2. The old ones and what they did (webway, seeding the galaxy etc etc)
3. What are the necrons and how did they discovered the c’tan (and what a c’tan is)
4. War in heaven
5. What are the eldar (and the orks) and what they did
6. Then all the human history and recent events

Nono you can’t start from there, you need to know who the dude is and why he did that to truly grasp the scope of the setting. It all started several million years ago, when a race of soulless machines commanded by living clouds attacked…