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I am new to Warhammer 40k and am thinking about getting the Dark Vengeance set but I really want to collect an Ultramarines army. Could I use the Dark Angels as an allied army or do I need another player to do that?

Yeah. There's an Allies Matrix in the rulebook. Dark Angels and regular Space Marines (IE: Ultramarines) are pretty buddy buddy, so they can run in an army together. I feel like the armies will be a little redundant allied to each other, but I'll leave that to your discretion.

The 6th Edition Warhammer 40k Rulebook allows certain armies to be taken as an allied for with certain other armies.

You absolutely can take a small, allied force of Codex: Dark Angels with your Ultramarines (Codex: Space Marines) or vice versa.

In fact, the DV set would give your Dark Angels Force:

Troop: Tactical squad
HQ: Company Captain
HQ: Librarian
HQ: Chaplain, if you got the LE set
Elite: Terminators
Fast Attack: 3 man bike squad.

Pick 1 HQ, and the tactical squad, and you could also take the Terminators and/or the Bike Squad if you wanted.

However, as Brother SRM says, you're not getting anything that Space Marines can't already field this way.

Why not just paint the dark vengeance models Ultramarines blue and use them with the C:SM rules?

That also works.

Thanks that really helps. One more question if I paint the models as Ultramarines wont I have to get rid of the Dark Angel signs on the models

Only if you are really picky about the minutiae.

From the tabletop people may recognize the terminator sergeant or the wings on the bike, but with the right paintjob they would just look like fancy Ultramarines.

I am just painting the DV marines as my own chapter. I cut the back wings off the bikes and cut the wings and sword off the terminator Sargent and gave him a chainfist. My chapter paint scheme happens to be green too so people ask if I am playing dark angels and I just say no. Works fine for me.

I think its better to have it the other way around: Azreal, Belial and Sammiel can only unlock there units to the troups choice if there in a primary detachement.