First thing you should do is borrow a friends rulebook for a couple nights as well as a friends codex (don't buy one just yet, you may decide on another army) and just sit at your kitchen table, playing with bottlecaps and tissue boxes.
After you have the phases of the turn down, play a couple moc games using a friends models (if he doesnt have the right ones, just state them as proxies), dont do big games, 500 points MAX, just so you pick up on the feel of the game (mathhammer and reading about how to use units is WAY different than actual play, its so easy to have "the perfect plan" on paper, then it go horribly wrong because you never expected your opponent to do x).
After that, write a few 1000 point lists and post them on dakka. Nothing fancy, just write a few lists with different tactics each. See how they are received and then rebuild em if necessary. If you finally make one that you really like, and people say it is a legal list and there are not any glaring problems, start by getting a few minis.
If you are low on cash, you can build a decent sized army by buying used models off of epsilon harbor and then use this:
http://www.dakkadakka.com/wiki/en/Dakka_Modeling_FAQ:_How_to_Strip...
I wouldn't recommend using the swap shop just yet, its easy to get scammed (especially when using money).
If you dont know how to paint, there are only 3 tutorials on the internet. Ooops, I meant 3 billion.
Play and paint to your hearts content. Spend thousands of dollars. Join the
GW hate bandwagon. Go to
40k rehab. Relapse and start playing
40k. Go back to
40k rehab. Smash all your models.
AND FINALLY!
https://www.youtube.com/watch?v=UPw-3e_pzqU