Hello and welcome to Dakka and the hobby!
40k can certainly seem overwhelming, I know it did to me. I recommend you check out what the miniatures look like first, decide which factions you would enjoy painting and collecting based on that, then choose one of those. Games Workshop's own site is a good resource for this, you can look at the currently available models for each army there. You can ask about playstyles and whether they're beginner-friendly armies on Dakka or elsewhere before you make your choice.
Then choose what to get. A Start Collecting box is a good first purchase in most cases, along with some necessary hobby tools if you don't have them already. A hobby knife, side cutters, plastic cement, (super glue for metal and resin), primer, brushes and paints are the essentials.
Download the basic rules for free at
https://www.games-workshop.com/en-SE/Warhammer-40000-Rules. The rules for your specific army can be found either in a codex or an index, depending on your choice. If your army has a codex, don't bother with the index. I recommend getting Battlescribe for list building, it's free to download and makes building your list much smoother and easier.
Don't get too many models at once. Buy a few, build, paint, decide whether you want more. Ask online for tips. Play small games at first, so you get a feeling for the game.