Warhammer 40k Lore in One Minute

play dawn of war. The first one. I'm not sure if the story it follows is official canon (the Blood Ravens chapter was made up just for the game) but it will give you a good feel for the races. The second Dawn of War is good too, but mostly the campaign. The multiplayer is less strategy and more tactics so the armies are tiny and there is no base building so I found skirmishes not to my liking. Also, they god lazy as fuck on the campaigns for the expansions. Like, in the first one, each piece of gear you equipped changed the look of the armor but in the expansion everything is the fucking same. Also, the last expansion allows you to play the campaign with all the races but it's literally the exact same campaign with each race, they just slightly change the dialogue.

I think the Horus Heresy is the best place to start, you can google what happened, but there is also a very large collection of books written by various authors that explain the corruption of the space marines and the"fall" of the emperor. I'd recommend doing both hehe