First of welcome to warhammer
40k!
The Grey knights can be tricksy to play at only 500p, but I would say start of with some strike squads in rhinos then get some specialists like purgators or interceptors.
Here I made you an army list:
HQ
Ordo Malleus Inquisitor
w. carapace armour, Nemesis Daemon hammer.
40p.
Troops
Strike squad x2
5 Grey knights including Justicar
w. Nemesis force swords and strom bolter, 1 Daemon hammer.
All mounted in Rhino.
150p each
Fast attack
Interceptor squad
5 Grey knights including Justicar
w. Nemesis force swords and strom bolters, 1 Daemon hammer and 1Incinerator.
160p.
total: 500p
This is a pretty selfexplained list, it is a pretty fast army which is good if you are facing shooty armies. I am not sure about the
HQ choice but for 500 points it's probably one of the better choices. If you play 600 points I would swap him for a librerian.
But hopefully you will have alot of fun with the Grey knights

.
Cheers!