So, the secret to learning 40k is that you don't need to know all of the rules. At least, not right away.
For example, if you show up with a list that doesn't include vehicles, then you don't really need to know much of anything about vehicles (other than how to damage them). If you don't bring cavalry, then you don't need to know the rules for cavalry (you can always look them up before the game if your opponent brings some). If you don't use any of the universal special rules, you don't need to know them (once again, you can just ask your opponents about theirs before the game).
In fact, there's shockingly little that you really need to know in order to play a basic game of 40k. If you find someone who is willing to help you learn, you can even practice without some of the less necessary parts of the game like morale, or even close combat.
Really, for the very beginner, you just need to know that stuff moves 6", and then can either run for D6 more or shoot (know the rule for ballistic skill), that has a chance to wound (have a copy of the chart nearby), and know the basic rules about cover and armor saves. Throw on the basic rules for vehicles, and you're looking at two dozen rules you need to know for a massively huge chunk of the situations you're going to come across in any given game.
Learn the rules you'll use a lot, and then just keep plugging away at the less-used ones over time, and you'll get it.
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