Guide them to the beginning of the Characters section of Unit Types. This will be before the section on Challenges.
Veteran warriors, brilliant officers, possessed prophets and ferocious war-leaders can all inspire their troops to great feats of heroism (or fiendish bravery as the case may be) and are often quicker, stronger and more skilled in combat than those they lead. In Warhammer 40,000, these kinds of powerful individuals are called ‘characters’.
CHARACTER TYPES
Most characters are fielded in units from the start of the game, and represent squad leaders, such as a Space Marine Veteran Sergeant. They have their own profile, but do not have a separate entry. They are effectively just another trooper in their unit, with enhanced characteristics and perhaps a wider selection of weapons and wargear choices. Other characters, such as Mephiston of the Blood Angels, fight as units on their own. They are either mighty enough, or feared enough by their own kind, that they don’t take to the battlefield with other warriors. Regardless of their potency, all follow the rules for characters.
Independent Characters
Some characters have the Independent Character special rule, which allows them to join other units.
So, yeah, if it says "(Character)" as a unit type it falls in to this category.