Welcome to Dakka Dakka
The best way to learn is to play the game against someone. Read the basic rules a little and get a more experienced friend to help you out. Start off with the basics, like movement, shooting, assaults, wounding, saves, and cover. Then each time you play after that aim to learn something new. Second should probably include vehicles and maybe some of the special rules. Third could include psychic powers, of course that isn't even a set guidline of what you should expect, simply examples.
Just try not to do too much in the first few games and you'll learn how to play in no time. Also seconding Luna's post, knowing where to find experienced players to help you learn is obviously a good idea.
Lastly, yes you can create your own character and give him rules. Take it over to the proposed rules section so they can help you make it fair. You'll only be able to use it if your opponent agress though, so you'll have to take a copy of the rules for them with you.
If you want to use one of the existing characters and give them a different name thats fine as well, you don't even need your opponent's permission then. You could also build up your own custom model for your leader, as long as your opponent knows what it's meant to represent its fine.